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Expected Shortfall Computation with Multiple Control Variates
SSRN Electronic Journal, 2019 In this work we derive an exact formula to calculate the Expected Shortfall (ES) value for the one-factor delta-gamma approach which, to the best of our knowledge, was still missing in the literature. We then use the one-factor delta-gamma as a control variate to estimate the ES of the multi-factor delta-gamma approach.
Luis Ortiz-Gracia
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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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Investigating the Effects of Strength of Corporate Governance Mechanisms on Systemic Risk for Financial Institutions Listed on Tehran Stock Exchange [PDF]
تحقیقات مالی, 2020 Objective: The systemic risk is the risk of a crisis in the financial sector and its transmission to the economy. Due to the importance of social damage caused by the financial crisis, it is necessary to pay attention to the systemic risk and its factors.
Vali Nadi Qomi +2 more
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An elementary proof of the dual representation of Expected Shortfall [PDF]
Mathematics and Financial Economics, 2023 We provide an elementary proof of the dual representation of Expected Shortfall on the space of integrable random variables over a general probability space.
Martin Herdegen, Cosimo Munari
semanticscholar +1 more source
Change-point detection for expected shortfall in time series
Journal of Management Science and Engineering, 2021 Expected shortfall (ES) is a popular risk measure and plays an important role in risk and portfolio management. Recently, change-point detection of risk measures has been attracting much attention in finance.
Lingyu Sun, Dong Li
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Robust estimation and inference for expected shortfall regression with many regressors [PDF]
Journal of the Royal Statistical Society Series B: Statistical Methodology, 2022 Expected shortfall (ES), also known as superquantile or conditional value-at-risk, is an important measure in risk analysis and stochastic optimisation and has applications beyond these fields.
Xuming He, Kean Ming Tan, Wen-Xin Zhou
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Social Science Research Network, 2023 A plethora of academic papers on generalized autoregressive conditional heteroscedasticity (GARCH) models for bitcoin and other cryptocurrencies have been published in academic journals.
C. Alexander, Michael Dakos
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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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Inference for joint quantile and expected shortfall regression [PDF]
Stat, 2022 Quantiles and expected shortfalls are commonly used risk measures in financial risk management. The two measurements are correlated while having distinguished features.
Xiangwu Peng, Huixia Judy Wang
semanticscholar +1 more source
Optimisasi Portofolio Expected Shortfall Pada Saham Sektor Energi dan Pertambangan
Kubik, 2020 Saham sebagai salah satu produk investasi di pasar modal Indonesia tentunya memiliki risiko yang dapat memengaruhi keputusan investor dalam berinvestasi, dalam menentukan risiko dapat dilakukan dengan melihat diversifikasi portofolio dari beberapa saham.
Nurul Fadilah +2 more
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