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Estimation of Expected Shortfall
Advances in Economics, Management and Political SciencesOur paper emphasizes on estimating extreme losses caused by heavy-tail behaviour of financial data by the indicator of expected shortfall as well as underlying the significance of using appropriate modeling methods. It is common that most research assumes financial data to follow a normal distribution, but this is generally not the case as many ...
Rongqian Ye, Jingkuo Hou, Muchen Luan
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Local Expected Shortfall-Hedging in Discrete Time
Review of Finance, 2003Abstract 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.
Schulmerich, Marco, Trautmann, Siegfried
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Approximating expected shortfall for heavy-tailed distributions
Econometrics and Statistics, 2018A saddlepoint approximation for evaluating the expected shortfall of financial returns under realistic distributional assumptions is derived. This addresses a need that has arisen after the Basel Committee’s proposed move from Value at Risk to expected shortfall as the mandated risk measure in its market risk framework.
Broda, Simon A +2 more
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From BASEL III to BASEL IV and beyond: Expected shortfall and expectile risk measures
International Review of Financial Analysis, 2023Tsvetelin S. Zaevski +1 more
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Estimation methods for expected shortfall
Quantitative Finance, 2013Introduced in the 1980s, value at risk has been a popular measure of financial risk. However, value at risk suffers from a number of drawbacks as measure of financial risk. An alternative measure referred to as expected shortfall was introduced in late 1990s to circumvent these drawbacks. Much theory have been developed since then.
Saralees Nadarajah +2 more
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Nonparametric estimation of expected shortfall for α-mixing financial losses
Computational statistics (Zeitschrift), 2023Xuejun Wang, Yi Wu, Wei Wang
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Equilibrium Analysis of Expected Shortfall
SSRN Electronic Journal, 2017This article studies optimal, dynamic portfolio and wealth/consumption policies of expected utility maximizing investors who must also manage market-risk exposure which is measured by Expected Shortfall (ES). We find that ES managers can incur larger losses when losses occur, compared to both VaR and benchmark managers.
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Estimation of Expected Shortfall Using Quantile Regression: A Comparison Study
Computational Economics, 2021Eliana Christou, M. Grabchak
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