Results 11 to 20 of about 2,224,639 (290)
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
doaj +2 more sources
Robust Forecast Evaluation of Expected Shortfall* [PDF]
Journal of Financial Econometrics, 2019 Abstract Motivated by the Basel III regulations, recent studies have considered joint forecasts of Value-at-Risk and Expected Shortfall. A large family of scoring functions can be used to evaluate forecast performance in this context.
Ziegel, Johanna F. +3 more
openaire +4 more sources
Modeling Expected Shortfall Using Tail Entropy [PDF]
Entropy, 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.
Daniel Traian Pele +2 more
openaire +3 more sources
Dynamic financial tail risk networks: A backtesting-based conditional expected shortfall approach. [PDF]
PLoS ONEThis paper develops a Factor-Copula methodology for constructing high-dimensional dynamic tail risk networks based on the conditional expected shortfall (CoES) in order to overcome the limitations of traditional quantile regression and copula models.
Donghao Zhang, Xiaodong Yan, Feng Shen
doaj +2 more sources
Expected Shortfall and Beyond [PDF]
Journal of Banking & Finance, 2002 Financial institutions have to allocate so-called "economic capital" in order to guarantee solvency to their clients and counter parties. Mathematically speaking, any methodology of allocating capital is a "risk measure", i.e. a function mapping random variables to the real numbers.
Dirk Tasche
openaire +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
doaj +2 more sources
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
openaire +1 more source
Managing Meteorological Risk through Expected Shortfall
Risks, 2020 This paper focuses on weather derivatives as efficient risk management instruments and proposes a more advanced approach for their pricing. An “hybrid” contract is introduced, combining insurance properties, specifically tailored for the region under ...
Silvana Stefani +3 more
doaj +1 more source
On estimating the conditional expected shortfall [PDF]
Applied Stochastic Models in Business and Industry, 2008 AbstractUnlike the value at risk, the expected shortfall is a coherent measure of risk. In this paper, we discuss estimation of the expected shortfall of a random variable Yt with special reference to the case when auxiliary information is available in the form of a set of predictors Xt.
PERACCHI, FRANCO, Tanase, AV
openaire +4 more sources