A joint quantile and expected shortfall regression framework

DOI10.1214/19-EJS1560MaRDI QIDQ62993zbMATH OpenWikidataFDO

Authors Timo Dimitriadis, Sebastian Bayer, Timo Dimitriadis, Sebastian Bayer

Publication date 1 January 2019

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1704.02213, https://projecteuclid.org/euclid.ejs/1559872834

zbMATH Keywords

expected shortfalljoint elicitabilityjoint regressionM-estimationquantile regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Abstract: We introduce a novel regression framework which simultaneously models the quantile and the Expected Shortfall (ES) of a response variable given a set of covariates. This regression is based on a strictly consistent loss function for the pair quantile and ES, which allows for M- and Z-estimation of the joint regression parameters. We show consistency and asymptotic normality for both estimators under weak regularity conditions. The underlying loss function depends on two specification functions, whose choice affects the properties of the resulting estimators. We find that the Z-estimator is numerically unstable and thus, we rely on M-estimation of the model parameters. Extensive simulations verify the asymptotic properties and analyze the small sample behavior of the M-estimator for different specification functions. This joint regression framework allows for various applications including estimating, forecasting, and backtesting ES, which is particularly relevant in light of the recent introduction of ES into the Basel Accords.

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Cited in

(13)

• Multistep quantile forecasts for supply chain and logistics operations: bootstrapping, the GARCH model and quantile regression based approaches
• Estimation of complier expected shortfall treatment effects with a binary instrumental variable
• Joint generalized quantile and conditional tail expectation regression for insurance risk analysis
• Measurability of functionals and of ideal point forecasts
• Loss function-based change point detection in risk measures
• Inference for joint quantile and expected shortfall regression
• XVA analysis from the balance sheet
• Two-step online estimation and inference for expected shortfall regression with streaming data
• A joint quantile and expected shortfall regression framework
• Elicitability and identifiability of set-valued measures of systemic risk
• esreg
• Deep quantile and deep composite triplet regression
• A regression analysis of expected shortfall

Describes a project that uses

Uses Software

• CAViaR
• esreg

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