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Dynamic Asset Allocation with Expected Shortfall via Quantum Annealing [PDF]
Entropy, 2023 Recent advances in quantum hardware offer new approaches to solve various optimization problems that can be computationally expensive when classical algorithms are employed.
Hanjing Xu +3 more
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Optimizing Expected Shortfall under an ℓ1 Constraint—An Analytic Approach [PDF]
Entropy, 2021 Expected Shortfall (ES), the average loss above a high quantile, is the current financial regulatory market risk measure. Its estimation and optimization are highly unstable against sample fluctuations and become impossible above a critical ratio r=N/T ...
Gábor Papp, Imre Kondor, Fabio Caccioli
doaj +2 more sources
Implementation of a Commitment Machine for an Adaptive and Robust Expected Shortfall Estimation [PDF]
Frontiers in Artificial Intelligence, 2021 This study proposes a metaheuristic for the selection of models among different Expected Shortfall (ES) estimation methods. The proposed approach, denominated “Commitment Machine” (CM), has a strong focus on assets cross-correlation and allows to measure
Marco Bagnato +3 more
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Seven Proofs for the Subadditivity of Expected Shortfall
Dependence Modeling, 2015 Abstract Subadditivity is the key property which distinguishes the popular risk measures Value-at-Risk and Expected Shortfall (ES). In this paper we offer seven proofs of the subadditivity of ES, some found in the literature and some not.
Embrechts Paul, Wang Ruodu
doaj +4 more sources
On the Shortfall of Tail-Based Entropy and Its Application to Capital Allocation [PDF]
EntropyWe introduce and study the shortfall of tail-based entropy (STE), a tail-sensitive risk functional that combines expected shortfall (ES) and tail-based entropy (TE).
Pingyun Li, Chuancun Yin
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A Simple Traffic Light Approach to Backtesting Expected Shortfall
Risks, 2018 We propose a Traffic Light approach to backtesting Expected Shortfall which is completely consistent with, and analogous to, the Traffic Light approach to backtesting VaR (Value at Risk) initially proposed by the Basel Committee on Banking Supervision in
Nick Costanzino, Michael Curran
doaj +3 more sources
Modeling Expected Shortfall Using Tail Entropy [PDF]
Entropy (Basel), 2019 Given the recent replacement of value-at-risk as the regulatory standard measure of risk with expected shortfall (ES) undertaken by the Basel Committee on Banking Supervision, it is imperative that ES gives correct estimates for the value of expected levels of losses in crisis situations.
Pele D +2 more
europepmc +4 more sources
On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles
Risks, 2018 This article reviews two leading measures of financial risk and an emerging alternative. Embraced by the Basel accords, value-at-risk and expected shortfall are the leading measures of financial risk.
James Ming Chen
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Model risk of expected shortfall [PDF]
Journal of Banking and Finance, 2019 In this paper we propose to measure the model risk of Expected Shortfall as the optimal correction needed to pass several ES backtests, and investigate the properties of our proposed measures of model risk from a regulatory perspective. Our results show that for the DJIA index, the smallest corrections are required for the ES estimates built using ...
Emese Lazar, Ning Zhang
exaly +2 more sources
Nonparametric Expectile Shortfall Regression for Complex Functional Structure [PDF]
EntropyThis paper treats the problem of risk management through a new conditional expected shortfall function. The new risk metric is defined by the expectile as the shortfall threshold.
Mohammed B. Alamari +3 more
doaj +2 more sources