On estimating the conditional expected shortfall

DOI10.1002/ASMB.729MaRDI QIDQ3552644zbMATH OpenOpenAlexFDO

Authors Franco Peracchi, Andrei V. Tanase

Publication date 22 April 2010

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2108/36553

zbMATH Keywords

logistic regressionquantile regressionvalue at riskrisk measures

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Monte Carlo methods (65C05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Nonparametric estimation of conditional VaR and expected shortfall
• Asymptotically efficient estimation of the conditional expected shortfall
• NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY
• Conditional VAR and expected shortfall: a new functional approach
• Nonparametric estimation of \(100(1-p)\%\) expected shortfall: \(p\to 0\) as sample size is increased

Cites work

• Application of Coherent Risk Measures to Capital Requirements in Insurance
• Finite mixture models
• On estimating conditional quantiles and distribution functions.
• Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure
• Regression Quantiles

Cited in

(24)

• Modified marginal expected shortfall under asymptotic dependence
• Nonparametric estimation of conditional VaR and expected shortfall
• Multi-stage stochastic model in portfolio selection problem
• Measures of Residual Risk with Connections to Regression, Risk Tracking, Surrogate Models, and Ambiguity
• Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
• Dual representation of expectile-based expected shortfall and its properties
• Estimation methods for expected shortfall
• Asymptotically efficient estimation of the conditional expected shortfall
• Model-free inference for tail risk measures
• Dynamic Minimization of Worst Conditional Expectation of Shortfall
• Risk-adaptive approaches to stochastic optimization: a survey
• Computation of expected shortfall by fast detection of worst scenarios
• Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk
• On the non-existence of conditional value-at-risk under heavy tails and short sales
• A joint quantile and expected shortfall regression framework
• Bayesian CV@R/super-quantile regression
• Weighted-average quantile regression
• Nonparametric kernel estimation of CVaR under \(\alpha\)-mixing sequences
• Conditional VAR and expected shortfall: a new functional approach
• Nonparametric estimation of \(100(1-p)\%\) expected shortfall: \(p\to 0\) as sample size is increased
• Empirical tail conditional allocation and its consistency under minimal assumptions
• Nonparametric kernel estimation of expected shortfall under negatively associated sequences
• Estimation of multiple period expected shortfall and median shortfall for risk management
• Inference for joint quantile and expected shortfall regression

This page was built for publication: On estimating the conditional expected shortfall

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3552644)