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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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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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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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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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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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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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Mathematics, 2021 This study aims to apply value at risk (VaR) and expected shortfall (ES) as time-varying systematic and idiosyncratic risk factors to address the downside risk anomaly of various asset pricing models currently existing in the Pakistan stock exchange. The
Adeel Nasir +4 more
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, 2023 We propose an $\ell_1$-penalized estimator for high-dimensional models of Expected Shortfall (ES). The estimator is obtained as the solution to a least-squares problem for an auxiliary dependent variable, which is defined as a transformation of the dependent variable and a pre-estimated tail quantile.
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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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