Results 221 to 230 of about 9,183 (262)

Backtesting Expected Shortfall and Beyond

SSRN Electronic Journal, 2021
We conduct a comprehensive study of the performance of leading backtesting procedures for expected shortfall.
Kaihua Deng, Jie Qiu
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Adjusted Higher-Order Expected Shortfall

SSRN Electronic Journal, 2022
The authors investigate how to detect different tail behaviors of two risk random variables with the same mean. A class of convex risk measures, referred to as adjusted higher-order expected shortfall (ES), is introduced and studied. The adjusted risk measure quantifies risk as the minimum amount of capital that has to be raised and injected into a ...
Zhenfeng Zou, Taizhong Hu
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An asymptotic study of systemic expected shortfall and marginal expected shortfall

Insurance: Mathematics and Economics, 2022
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Yiqing Chen, Jiajun Liu
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Expected shortfall or median shortfall

Journal of Financial Engineering, 2014
In a recent consultative document, the Basel Committee on Banking Supervision suggests replacing Value-at-Risk (VaR) by expected shortfall (ES) for setting capital requirements for banks' trading books because ES better captures tail risk than VaR. However, besides ES, another risk measure called median shortfall (MS) also captures tail risk by taking
Kou, Steven, Peng, Xianhua
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Nonparametric versus Parametric Expected Shortfall

SSRN Electronic Journal, 2016
The Basel III recommendation to replace value-at-risk with expected shortfall (ES) for capital adequacy risk management purposes is a welcome event that recognizes the intuitive and theoretical advantages of ES, and is likely to increase use of ES in portfolio construction and risk management generally.
R. Douglas Martin, Shengyu Zhang
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Expected shortfall: Heuristics and certificates

European Journal of Operational Research, 2018
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ramponi, Federico Alessandro, Campi, Marco C.   +1 more
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Local Expected Shortfall-Hedging

SSRN Electronic Journal, 2001
This paper proposes a self-financing trading strategy that minimizes the expected shortfall locally when hedging a European contingent claim. A positive shortfall occurs if the hedger is not willing to follow a perfect hedging or a superhedging strategy.
Marco Schulmerich, Siegfried Trautmann
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Bayes Risk, Elicitability, and the Expected Shortfall

SSRN Electronic Journal, 2020
AbstractMotivated by recent advances on elicitability of risk measures and practical considerations of risk optimization, we introduce the notions of Bayes pairs and Bayes risk measures. Bayes risk measures are the counterpart of elicitable risk measures, extensively studied in the recent literature.
Paul Embrechts, Tiantian Mao, Qiuqi Wang, Ruodu Wang   +3 more
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Individual and flexible expected shortfall backtesting

The Journal of Risk Model Validation, 2012
In this paper we propose an expected shortfall (ES) backtesting approach that uses the dispersion of a truncated distribution by the estimated value-at-risk (VaR) upper limit, does not limit the approach to the Gaussian case and allows us to test if each individual VaR violation is significantly different from the ES. Moreover, we present a Monte Carlo
Marcelo Brutti Righi, Paulo Sergio Ceretta   +1 more
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Backtesting the Expected Shortfall

2021
Junior Management Science, Bd. 6 Nr. 3 (2021)
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