A regression analysis of expected shortfall

DOI10.4310/SII.2015.V8.N3.A4MaRDI QIDQ1747455zbMATH OpenFDO

Authors Jia Su, Sufianti, Zongwu Cai

Publication date 8 May 2018

Published in Statistics and Its Interface (Search for Journal in Brave)

zbMATH Keywords

expected shortfallrisk managementquasi-likelihood estimationsemiparametric modelingcoherent riskbacktesting methodproportional mean residual life function

Mathematics Subject Classification ID

Reliability and life testing (62N05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

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Cited in

(11)

• Analysis of the Expected Shortfall of Aggregate Dependent Risks
• Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation
• Semiparametric estimation of expected shortfall and its application
• Dynamic expected shortfall: a spectral decomposition of tail risk across time horizons
• A confidence interval procedure for expected shortfall risk measurement via two-level simulation
• Two-step kernel estimation of expected shortfall for strong mixing time series
• Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk
• Econometric modeling of risk measures: a selective review of the recent literature
• A joint quantile and expected shortfall regression framework
• TERES: tail event risk expectile shortfall
• Backtesting expected shortfall and beyond

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