Developing a Model for Ranking Mutual Funds in Iran Using the Systematic Risk Assessment Approach Based on LTD, SES, MES, and CoVaR Models [PDF]
تحقیقات مالی, 2021 Objective: The simplest thing that may make an amateur investor invest in a fund is simply to look at the fund’s return that can be calculated very easily. Capital market experts have always tried to make investors aware of the threat of making judgments
Behnam Chavoshi +2 more
doaj +1 more source
Calacualting Value at Risk and Expected Shortfall of Some Statistical Distributions [PDF]
تصمیم گیری و تحقیق در عملیات, 2018 Value at risk and expected shortfall are the two most popular measures for calculating financial risk. To calculate these measures (Value at risk and expected shortfall) there are many approaches, which can be divided into two main categories; parametric
Rasool Roozegar +2 more
doaj +1 more source
THE DETERMINANTS OF SYSTEMIC RISK: EVIDENCE FROM INDONESIAN COMMERCIAL BANKS
Buletin Ekonomi Moneter dan Perbankan, 2020 This paper examines the determinants of systemic risk across Indonesian commercial banks using quarterly data from 2001Q4 to 2017Q4. Employing four measures of systemic risk, namely value-at-risk (VaR), historical marginal expected shortfall (MESH ...
Mutiara Aini +1 more
doaj +1 more source
Backtesting expected shortfall: a simple recipe? [PDF]
Journal of Risk, 2019 We propose a new backtesting framework for Expected Shortfall that could be used by the regulator. Instead of looking at the estimated capital reserve and the realised cash-flow separately, one could bind them into the secured position, for which risk measurement is much easier. Using this simple concept combined with monotonicity of Expected Shortfall
Moldenhauer, Felix, Pitera, Marcin
openaire +3 more sources
The Effect of Left Tail Risk on Expected Excess Returns and Its Consequences on the Persistence of Left Tail Returns [PDF]
تحقیقات مالی, 2020 Objective: Left-tailed risk illustrates the probability of unfavorable events that could occur in a range wider than three variances of the distribution function.
Mahshid Shahrzadi +2 more
doaj +1 more source
Regression-Based Expected Shortfall Backtesting [PDF]
Journal of Financial Econometrics, 2020 AbstractThis article introduces novel backtests for the risk measure Expected Shortfall (ES) following the testing idea of Mincer and Zarnowitz (1969). Estimating a regression model for the ES stand-alone is infeasible and thus, our tests are based on a joint regression model for the Value at Risk (VaR) and the ES, which allows for different test ...
Sebastian Bayer, Timo Dimitriadis
openaire +3 more sources
Nonparametric Estimation of Conditional Expected Shortfall
Assurances et gestion des risques, 2023 We consider a nonparametric method to estimate conditional expected shortfalls, i.e. conditional expected losses knowing that losses are larger than a given loss quantile. We derive the asymptotic properties of kernel estimators of conditional expected shortfalls in the context of a stationary process satisfying strong mixing conditions.
openaire +2 more sources
Determinan risiko sistemik perbankan Indonesia: Aplikasi metode marginal expected shortfall
Jurnal Ekonomi dan Bisnis, 2020 Riset ini memiliki tujuan untuk melakukan pengukuran risiko sistemik melalui aplikasi metode yang dapat mengkalkulasi prediksi kerugian modal pada bank tatkala pasar dilanda krisis, yaitu Marginal Expected Shortfall (MES) serta menguji faktor-faktor yang
Mutiara Hikmah, Buddi Wibowo
doaj +1 more source
Forecast Encompassing Tests for the Expected Shortfall [PDF]
SSRN Electronic Journal, 2019 International Journal of Forecasting (2020+, forthcoming)
Dimitriadis, Timo, Schnaitmann, Julie
openaire +3 more sources
Nonparametric Estimation of the Expected Shortfall Regression for Quasi-Associated Functional Data
Mathematics, 2022 In this paper, we study the nonparametric estimation of the expected shortfall regression when the exogenous observation is functional. The constructed estimator is obtained by combining the double kernels estimator of both conditional value at risk and ...
Larbi Ait-Hennani +3 more
doaj +1 more source