Results 21 to 30 of about 126,314 (289)
A Simple Traffic Light Approach to Backtesting Expected Shortfall
Risks, 2018 We propose a Traffic Light approach to backtesting Expected Shortfall which is completely consistent with, and analogous to, the Traffic Light approach to backtesting VaR (Value at Risk) initially proposed by the Basel Committee on Banking Supervision in
Nick Costanzino, Michael Curran
doaj +3 more sources
On estimating the conditional expected shortfall [PDF]
Applied Stochastic Models in Business and Industry, 2008 Unlike 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 Y-t with special reference to the case when auxiliary information is available in the form
Acerbi +14 more
core +6 more sources
Nonparametric Expectile Shortfall Regression for Complex Functional Structure [PDF]
EntropyThis paper treats the problem of risk management through a new conditional expected shortfall function. The new risk metric is defined by the expectile as the shortfall threshold.
Mohammed B. Alamari +3 more
doaj +2 more sources
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
openaire +2 more sources
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
doaj +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
doaj +1 more source
Conditional marginal expected shortfall [PDF]
Extremes, 2021 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Yuri Goegebeur +3 more
openaire +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
Modeling Expected Shortfall Using Tail Entropy [PDF]
Entropy (Basel), 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.
Pele D +2 more
europepmc +4 more sources
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
doaj +1 more source