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A Comparison of Methods for Forecasting Value-at-Risk and Expected Shortfall of Cryptocurrencies
Social Science Research Network, 2022Several procedures to forecast daily risk measures in cryptocurrency markets have been recently implemented in the literature. Among them, long-memory processes, procedures taking into account the presence of extreme observations, procedures that include
Carlos César Trucíos Maza +1 more
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Multi-Period Mean Expected-Shortfall Strategies: ‘Cut Your Losses and Ride Your Gains’
Applied Mathematical Finance, 2022Dynamic mean-variance (MV) optimal strategies are inherently contrarian. Following periods of strong equity returns, there is a tendency to de-risk the portfolio by shifting into risk-free investments.
P. Forsyth, K. Vetzal
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Expected shortfall or median shortfall
Journal of Financial Engineering, 2014In a recent consultative document, the Basel Committee on Banking Supervision suggests replacing Value-at-Risk (VaR) by expected shortfall (ES) for setting capital requirements for banks' trading books because ES better captures tail risk than VaR. However, besides ES, another risk measure called median shortfall (MS) also captures tail risk by taking
Kou, Steven, Peng, Xianhua
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Statistical Learning of Value‐at‐Risk and Expected Shortfall
Mathematical Finance, 2022We propose a non‐asymptotic convergence analysis of a two‐step approach to learn a conditional value‐at‐risk (VaR) and a conditional expected shortfall (ES) using Rademacher bounds, in a non‐parametric setup allowing for heavy‐tails on the financial loss.
David Barrera +4 more
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Nonparametric versus Parametric Expected Shortfall
SSRN Electronic Journal, 2016The Basel III recommendation to replace value-at-risk with expected shortfall (ES) for capital adequacy risk management purposes is a welcome event that recognizes the intuitive and theoretical advantages of ES, and is likely to increase use of ES in portfolio construction and risk management generally.
R. Douglas Martin, Shengyu Zhang
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Semiparametric Estimation of Expected Shortfall and Its Application in Finance
Journal of Forecasting, 2022Measuring risk effectively is crucial for managing risk in financial markets. The expected shortfall has become an increasingly popular metric for risk in recent years. How to estimate it is important in statistics and financial econometrics.
Yan Fang +3 more
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Expected shortfall: Heuristics and certificates
European Journal of Operational Research, 2018zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ramponi, Federico Alessandro +1 more
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Communications in statistics. Simulation and computation, 2021
Forecasting risk measures in order to minimize and prevent a worse risk is an important and challenging task in quantitative risk management. Methodology and assessment of forecast accuracy are still developed to give a better risk measure forecast.
K. Syuhada, A. Hakim, Risti Nur’aini
semanticscholar +1 more source
Forecasting risk measures in order to minimize and prevent a worse risk is an important and challenging task in quantitative risk management. Methodology and assessment of forecast accuracy are still developed to give a better risk measure forecast.
K. Syuhada, A. Hakim, Risti Nur’aini
semanticscholar +1 more source
Econometrics and Statistics, 2021
Beyond their importance from the regulatory policy point of view, Value-at-Risk (VaR) and Expected Shortfall (ES) play an important role in risk management, portfolio allocation, capital level requirements, trading systems, and hedging strategies ...
M. Hallin, Carlos Trucíos
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Beyond their importance from the regulatory policy point of view, Value-at-Risk (VaR) and Expected Shortfall (ES) play an important role in risk management, portfolio allocation, capital level requirements, trading systems, and hedging strategies ...
M. Hallin, Carlos Trucíos
semanticscholar +1 more source
On the estimation of Value-at-Risk and Expected Shortfall at extreme levels
Journal of Commodity MarketsThe estimation of risk at extreme levels of significance (such as 0.1%) can be crucial to capture the losses during market downturns, such as the global financial crisis and the COVID-19 market crash.
Emese Lazar, Jingqi Pan, Shixuan Wang
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