Results 11 to 20 of about 9,183 (262)
Adjusted Expected Shortfall [PDF]
SSRN Electronic Journal, 2020 We introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by simultaneously controlling the expected losses associated with different portions of the tail distribution. The corresponding adjusted Expected Shortfalls quantify risk as the minimum amount of capital that has to be raised and injected into ...
Matteo Burzoni +2 more
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Conditional marginal expected shortfall [PDF]
Extremes, 2021 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Yuri Goegebeur +3 more
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Regression-Based Expected Shortfall Backtesting [PDF]
Journal of Financial Econometrics, 2020 AbstractThis article introduces novel backtests for the risk measure Expected Shortfall (ES) following the testing idea of Mincer and Zarnowitz (1969). Estimating a regression model for the ES stand-alone is infeasible and thus, our tests are based on a joint regression model for the Value at Risk (VaR) and the ES, which allows for different test ...
Sebastian Bayer, Timo Dimitriadis
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Risk Measurement by G-Expected Shortfall [PDF]
Mathematical Problems in Engineering, 2021 G-expected shortfall (G-ES), which is a new type of worst-case expected shortfall (ES), is defined as measuring risk under infinite distributions induced by volatility uncertainty. Compared with extant notions of the worst-case ES, the G-ES can be computed using an explicit formula with low computational cost.
Ziting Pei, Xuhui Wang, Xingye Yue
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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
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Developing a Model for Ranking Mutual Funds in Iran Using the Systematic Risk Assessment Approach Based on LTD, SES, MES, and CoVaR Models [PDF]
تحقیقات مالی, 2021 Objective: The simplest thing that may make an amateur investor invest in a fund is simply to look at the fund’s return that can be calculated very easily. Capital market experts have always tried to make investors aware of the threat of making judgments
Behnam Chavoshi +2 more
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Backtesting expected shortfall: a simple recipe? [PDF]
Journal of Risk, 2019 We propose a new backtesting framework for Expected Shortfall that could be used by the regulator. Instead of looking at the estimated capital reserve and the realised cash-flow separately, one could bind them into the secured position, for which risk measurement is much easier. Using this simple concept combined with monotonicity of Expected Shortfall
Moldenhauer, Felix, Pitera, Marcin
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The Effect of Left Tail Risk on Expected Excess Returns and Its Consequences on the Persistence of Left Tail Returns [PDF]
تحقیقات مالی, 2020 Objective: Left-tailed risk illustrates the probability of unfavorable events that could occur in a range wider than three variances of the distribution function.
Mahshid Shahrzadi +2 more
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THE DETERMINANTS OF SYSTEMIC RISK: EVIDENCE FROM INDONESIAN COMMERCIAL BANKS
Buletin Ekonomi Moneter dan Perbankan, 2020 This paper examines the determinants of systemic risk across Indonesian commercial banks using quarterly data from 2001Q4 to 2017Q4. Employing four measures of systemic risk, namely value-at-risk (VaR), historical marginal expected shortfall (MESH ...
Mutiara Aini +1 more
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Nonparametric Estimation of the Expected Shortfall Regression for Quasi-Associated Functional Data
Mathematics, 2022 In this paper, we study the nonparametric estimation of the expected shortfall regression when the exogenous observation is functional. The constructed estimator is obtained by combining the double kernels estimator of both conditional value at risk and ...
Larbi Ait-Hennani +3 more
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