Results 261 to 270 of about 2,224,639 (290)

On the Evaluation of Marginal Expected Shortfall

Applied Economics Letters, 2010
In the analysis of systemic risk, Marginal Expected Shortfall may be considered to evaluate the marginal impact of a single stock on the market Expected Shortfall. These quantities are generally computed using log-returns, in particular when there is also a focus on returns conditional distribution.
Caporin, Massimiliano, Santucci de Magistris, Paolo   +1 more
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An Axiomatic Foundation for the Expected Shortfall

SSRN Electronic Journal, 2019
In the recent Basel Accords, the expected shortfall (ES) replaces the value-at-risk (VaR) as the standard risk measure for market risk in the banking sector, making it the most popular risk measure in financial regulation. Although ES is—in addition to many other nice properties—a coherent risk measure, it does not yet have an axiomatic foundation.
Ruodu Wang, Ricardas Zitikis
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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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Backtesting the Expected Shortfall

2021
Junior Management Science, Bd. 6 Nr. 3 (2021)
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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 Righi, Paulo Sergio Ceretta
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A comparison of Expected Shortfall estimation models

Journal of Economics and Business, 2013
We investigate whether there is a pattern regarding the quality of several models and methods in expected shortfall (ES) estimation, considering distinct asset classes, estimation windows and significance levels. We use unconditional, conditional and quantile/expectile regression-based models.
Marcelo Righi, Paulo Sergio Ceretta
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Nonparametric versus Parametric Expected Shortfall

Journal of Risk, 2016
We use influence functions as a basic tool to study unconditional non-parametric and parametric expected shortfall (ES) estimators with regard to returns data influence, standard errors and coherence. Non-parametric ES estimators have a monotonically decreasing influence function of returns.
R. Douglas Martin, Shengyu Zhang
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Unexpected Shortfalls of Expected Shortfall: Extreme Default Profiles and Regulatory Arbitrage

Journal of Banking & Finance, 2014
The purpose of this paper is to dispel some common misunderstandings about capital adequacy rules based on Expected Shortfall. We establish that, from a theoretical perspective, Expected Shortfall based regulation can provide a misleading assessment of tail behaviour, does not necessarily protect liability holders' interests much better than Value-at ...
Koch-Medina, Pablo, Munari, Cosimo
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Estimation of Expected Shortfall

Advances in Economics, Management and Political Sciences
Our paper emphasizes on estimating extreme losses caused by heavy-tail behaviour of financial data by the indicator of expected shortfall as well as underlying the significance of using appropriate modeling methods. It is common that most research assumes financial data to follow a normal distribution, but this is generally not the case as many ...
Rongqian Ye, Jingkuo Hou, Muchen Luan
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Local Expected Shortfall-Hedging

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. In contrast to the classical variance criterion, the expected shortfall criterion depends only on
Marco Schulmerich, Siegfried Trautmann
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