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Robust mean-expected shortfall optimization

, 2007
openaire   +1 more source

A multilevel stochastic approximation algorithm for value-at-risk and expected shortfall estimation [PDF]

Finance and Stochastics, 2023
We propose a multilevel stochastic approximation (MLSA) scheme for the computation of the value-at-risk (VaR) and expected shortfall (ES) of a financial loss, which can only be computed via simulations conditionally on the realisation of future risk ...
St'ephane Cr'epey, N. Frikha, Azar Louzi
semanticscholar   +2 more sources

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Backtesting expected shortfall and beyond

SSRN Electronic Journal, 2021
We conduct a comprehensive study of the performance of leading backtesting procedures for expected shortfall. The tests differ in their analytical complexity, stability over different models, sensitivity to the sample sizes (both estimation and ...
K. Deng, Jie Qiu
semanticscholar   +2 more sources

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
semanticscholar   +3 more sources

Risk management with expected shortfall

Mathematics and Financial Economics, 2021
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Pengyu Wei
semanticscholar   +2 more sources

Backtesting Expected Shortfall: Accounting for Both Duration and Severity with Bivariate Orthogonal Polynomials [PDF]

Social Science Research Network
We propose an original two-part, duration-severity approach for backtesting Expected Shortfall (ES). While Probability Integral Transform (PIT) based ES backtests have gained popularity, they have yet to allow for separate testing of the frequency and ...
Sullivan Hu'e, Christophe Hurlin, Yang Lu   +2 more
semanticscholar   +2 more sources

A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures

Quantitative finance (Print), 2023
A class of realized semi-parametric conditional autoregressive joint Value-at-Risk (VaR) and Expected Shortfall (ES) models is proposed. This class includes novel specifications that allow separate dynamics for VaR and ES, driven by realized measures of ...
Chao Wang, R. Gerlach, Qi'an Chen
semanticscholar   +1 more source

Powerful Backtests for Historical Simulation Expected Shortfall Models

Journal of Business & Economic Statistics, 2023
Since 2016, the Basel Committee on Banking Supervision has regulated banks to switch from a Value-at-Risk (VaR) to an Expected Shortfall (ES) approach to measuring the market risk and calculating the capital requirement. In the transition from VaR to ES,
Zaichao Du, Pei Pei, Xuhui Wang, Tao Yang   +3 more
semanticscholar   +1 more source

An asymptotic study of systemic expected shortfall and marginal expected shortfall

Insurance: Mathematics and Economics, 2022
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Yiqing Chen, Jiajun Liu
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Monitoring Value-at-Risk and Expected Shortfall Forecasts

Management Sciences, 2022
This paper introduces formal monitoring procedures as a risk-management tool. Continuously monitoring risk forecasts allows practitioners to swiftly review and update their forecasting procedures as soon as forecasts turn inadequate.
Y. Hoga, M. Demetrescu
semanticscholar   +1 more source