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Modeling Expected Shortfall Using Tail Entropy [PDF]
Entropy (Basel), 2019 Given the recent replacement of value-at-risk as the regulatory standard measure of risk with expected shortfall (ES) undertaken by the Basel Committee on Banking Supervision, it is imperative that ES gives correct estimates for the value of expected levels of losses in crisis situations.
Pele D +2 more
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MEAN-EXPECTED SHORTFALL PORTFOLIO OPTIMIZATION USING A GENETIC ALGORITHM [PDF]
Economic HorizonsCapital requirements for the market risk exposure of banks is a nonlinear function of the expected shortfall (ES), which is calculated based on a bank’s actual portfolio, i.e. the portfolio represented by the bank’s current holdings.
Vladislav Radak +3 more
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A note on calculating expected shortfall for discrete time stochastic volatility models
Financial Innovation, 2021 In this paper we consider the problem of estimating expected shortfall (ES) for discrete time stochastic volatility (SV) models. Specifically, we develop Monte Carlo methods to evaluate ES for a variety of commonly used SV models.
Michael Grabchak, Eliana Christou
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ESTIMASI RISIKO PASAR DENGAN LVaR DAN EXPECTED SHORTFALL MENGGUNAKAN SIMULASI MONTE CARLO
E-Jurnal Matematika, 2022 Value at Risk (VaR) is a statistical technique used to manage and calculate the level of financial risk within a certain period of time and a certain level of confidence.
I PUTU YUDHI PRATAMA +2 more
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A Fast, Accurate Method for Value-at-Risk and Expected Shortfall
Econometrics, 2014 A fast method is developed for value-at-risk and expected shortfall prediction for univariate asset return time series exhibiting leptokurtosis, asymmetry and conditional heteroskedasticity.
Jochen Krause, Marc S. Paolella
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Estimating Portfolio Value-at-Risk and Expected Shortfall by Possibility and Necessity Theory [PDF]
تحقیقات مالی, 2017 One of the main concerns of investors and financial managers is the way of dealing with investment risk; thus identification, calculation and management of risk are important issues in financial fields.
Seyed Babak Ebrahimi +2 more
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COMPARISON BETWEEN VALUE AT RISK AND ADJUSTED EXPECTED SHORTFALL: A NUMERICAL ANALYSIS
Barekeng, 2023 Loss risk is one of the variable that always appears in every kind of investment. On stock asset investments, the characteristics of the risk of loss is uncertain, this means that losses can occur at any time with a value that cannot be determined ...
Trimono Trimono, Di Asih Maruddani
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Mathematics, 2022 We assess Value-at-Risk (VaR) and Expected Shortfall (ES) estimates assuming different models for the standardized returns: distributions based on polynomial expansions such as Cornish-Fisher and Gram-Charlier, and well-known parametric densities such as
Brenda Castillo-Brais +2 more
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Robust Forecast Evaluation of Expected Shortfall* [PDF]
Journal of Financial Econometrics, 2019 AbstractMotivated by the Basel III regulations, recent studies have considered joint forecasts of Value-at-Risk and Expected Shortfall. A large family of scoring functions can be used to evaluate forecast performance in this context. However, little intuitive or empirical guidance is currently available, which renders the choice of scoring function ...
Ziegel, Johanna F. +3 more
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Nonlinear AnalysisThe paper considers the asymptotics of the systemic expected shortfall (SES) and the marginal expected shortfall (MES) in systemic risks. We mainly consider individual losses to be the products of primary variables and random weights, where a dependence
Xiaowen Shen, Kaiyong Wang, Yuan Xie
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