Results 331 to 340 of about 2,746,744 (357)

Distortion risk measures: Prudence, coherence, and the expected shortfall

Mathematical Finance
Distortion risk measures (DRM) are risk measures that are law invariant and comonotonic additive. The present paper is an extensive inquiry into this class of risk measures in light of new ideas such as qualitative robustness, prudence and no reward for ...
M. Amarante, Felix-Benedikt Liebrich
semanticscholar   +1 more source

Nonparametric estimation of expected shortfall via Bahadur-type representation and Berry–Esséen bounds

Journal of Statistical Computation and Simulation, 2021
The expected shortfall is an important risk measure in financial risk management. In this paper, we study the Bahadur-type representation of an improved nonparametric expected shortfall estimator for φ-mixing financial losses without any restrictions on ...
Yi Wu, Wei Yu, N. Balakrishnan, Xuejun Wang   +3 more
semanticscholar   +1 more source

Local Expected Shortfall-Hedging

SSRN Electronic Journal, 2001
This paper proposes a self-financing trading strategy that minimizes the expected shortfall locally when hedging a European contingent claim. A positive shortfall occurs if the hedger is not willing to follow a perfect hedging or a superhedging strategy.
Marco Schulmerich, Siegfried Trautmann
openaire   +1 more source

Bayes Risk, Elicitability, and the Expected Shortfall

SSRN Electronic Journal, 2020
AbstractMotivated by recent advances on elicitability of risk measures and practical considerations of risk optimization, we introduce the notions of Bayes pairs and Bayes risk measures. Bayes risk measures are the counterpart of elicitable risk measures, extensively studied in the recent literature.
Paul Embrechts, Tiantian Mao, Qiuqi Wang, Ruodu Wang   +3 more
openaire   +2 more sources

Estimation and Inference for Nonparametric Expected Shortfall Regression over RKHS

Journal of the American Statistical Association
Expected shortfall (ES) has emerged as an important metric for characterizing the tail behavior of a random outcome, specifically associated with rarer events that entail severe consequences. In climate science, the threats of flooding and heatwaves loom
Myeonghun Yu, Yue Wang, Siyu Xie, Kean Ming Tan, Wenya Zhou   +4 more
semanticscholar   +1 more source

Individual and flexible expected shortfall backtesting

The Journal of Risk Model Validation, 2012
In this paper we propose an expected shortfall (ES) backtesting approach that uses the dispersion of a truncated distribution by the estimated value-at-risk (VaR) upper limit, does not limit the approach to the Gaussian case and allows us to test if each individual VaR violation is significantly different from the ES. Moreover, we present a Monte Carlo
Marcelo Brutti Righi, Paulo Sergio Ceretta   +1 more
openaire   +1 more source

Backtesting the Expected Shortfall

2021
Junior Management Science, Bd. 6 Nr. 3 (2021)
openaire   +2 more sources

Quasi Maximum Likelihood Estimation of Value at Risk and Expected Shortfall

Social Science Research Network, 2021
Quasi maximum likelihood estimation of Value at Risk (VaR) and Expected Shortfall (ES) is discussed. The reference likelihood is that of a location-scale asymmetric Laplace distribution, related to a family of loss functions that lead to strictly ...
Leopoldo Catania, A. Luati
semanticscholar   +1 more source

Unexpected shortfalls of Expected Shortfall: Extreme default profiles and regulatory arbitrage

Journal of Banking & Finance, 2016
Abstract The purpose of this paper is to dispel some common misunderstandings about capital adequacy rules based on Expected Shortfall. We establish that, from a theoretical perspective, Expected Shortfall based regulation can provide a misleading assessment of tail behavior, does not necessarily protect liability holders’ interests much better than ...
Koch-Medina, Pablo, Munari, Cosimo
openaire   +1 more source

An Axiomatic Foundation for the Expected Shortfall

Management Sciences, 2019
In the recent Basel Accords, the expected shortfall (ES) replaces the value-at-risk (VaR) as the standard risk measure for market risk in the banking sector, making it the most popular risk measure in financial regulation.
Ruodu Wang, R. Zitikis
semanticscholar   +1 more source