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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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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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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Good-Deal Bounds for Option Prices under Value-at-Risk and Expected Shortfall Constraints
Risks, 2020 In this paper, we deal with the pricing of European options in an incomplete market. We use the common risk measures Value-at-Risk and Expected Shortfall to define good-deals on a financial market with log-normally distributed rate of returns.
Sascha Desmettre +2 more
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