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Nonparametric Estimation of Conditional Expected Shortfall
Assurances et gestion des risques, 2023 We consider a nonparametric method to estimate conditional expected shortfalls, i.e. conditional expected losses knowing that losses are larger than a given loss quantile. We derive the asymptotic properties of kernel estimators of conditional expected shortfalls in the context of a stationary process satisfying strong mixing conditions.
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Regression-Based Expected Shortfall Backtesting [PDF]
Journal of Financial Econometrics, 2020 AbstractThis article introduces novel backtests for the risk measure Expected Shortfall (ES) following the testing idea of Mincer and Zarnowitz (1969). Estimating a regression model for the ES stand-alone is infeasible and thus, our tests are based on a joint regression model for the Value at Risk (VaR) and the ES, which allows for different test ...
Sebastian Bayer, Timo Dimitriadis
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UNA PROPUESTA DE CREDITMETRICS Y EXPECTED SHORTFALL PARA MEDICIÓN DE RIESGO CREDITICIO [PDF]
, 2010 Este artículo presenta un método sencillo que combina la metodología de CreditMetrics junto con la medida de Expected Shortfall para cuantificar riesgo crediticio. Se presenta un ejemplo para un bono y portafolio de dos bonos.
Andrés Mora Valencia +2 more
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Nonparametric Estimation of the Expected Shortfall Regression for Quasi-Associated Functional Data
Mathematics, 2022 In this paper, we study the nonparametric estimation of the expected shortfall regression when the exogenous observation is functional. The constructed estimator is obtained by combining the double kernels estimator of both conditional value at risk and ...
Larbi Ait-Hennani +3 more
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Forecast Encompassing Tests for the Expected Shortfall [PDF]
SSRN Electronic Journal, 2019 International Journal of Forecasting (2020+, forthcoming)
Dimitriadis, Timo, Schnaitmann, Julie
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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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Conditional marginal expected shortfall
, 2021 International audienceIn the context of bivariate random variables (Y^{(1)},Y^{(2)}), the marginal expected shortfall, defined as \mathbb E(Y^{(1)}|Y^{(2)} \ge Q_2(1-p)) for p small, where Q_2 denotes the quantile function of Y^{(2)}, is an important ...
Le Ho, Nguyen Khanh +10 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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