Results 271 to 280 of about 2,224,639 (290)

An Axiomatic Foundation for the Expected Shortfall

Management Science, 2021
Ričardas Zitikis, Ruodu Wang
exaly  

Expectations Shortfall

Financial Analysts Journal, 2006
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Relative Bound and Asymptotic Comparison of Expectile With Respect to Expected Shortfall

Insurance: Mathematics and Economics, 2020
Samuel Drapeau
exaly  

Estimating the Expected Shortfall of Cryptocurrencies: An Evaluation Based on Backtesting

Finance Research Letters, 2020
Ángel Manuel León Valle
exaly  

Asymptotics of Systemic Expected Shortfall and Marginal Expected Shortfall for Dependent Risks

Acta Mathematicae Applicatae Sinica, English Series
Zhang-ting Chen, Dong-ya Cheng
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Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall

Mathematical Finance, 2004
Olivier Scaillet
exaly  

Estimation of the Marginal Expected Shortfall Under Asymptotic Independence

Scandinavian Journal of Statistics, 2020
Eni Musta, Juan-Juan Cai
exaly  

Backtesting Expected Shortfall: Accounting for Tail Risk

Management Science, 2017
Juan Carlos Escanciano
exaly  

On the Significance of Expected Shortfall as a Coherent Risk Measure

Journal of Banking and Finance, 2005
Koji Inui
exaly  

Backtesting expected shortfall

The Expected Shortfall (ES) has gained increasing relevance as a market risk measure, particularly following its adoption by the Basel regulatory framework as a replacement for the traditional Value at Risk (VaR). While ES offers clear advantages in capturing extreme losses, it poses additional challenges for backtesting, given the absence of a simple ...
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