PELVE: probability equivalent level of VaR and ES

DOI10.1016/j.jeconom.2021.12.012OpenAlexW4220720576MaRDI QIDQ2697992

Hengxin Li, Ruodu Wang

Publication date: 14 April 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2021.12.012

zbMATH Keywords

heavy tailsvalue-at-riskexpected shortfallportfolio diversificationregulatory capital

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (2)

Diversification quotients based on VaR and ES ⋮ Generalized PELVE and applications to risk measures

Uses Software

• QRM

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
• Higher order elicitability and Osband's principle
• Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies
• Aggregation-robustness and model uncertainty of regulatory risk measures
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• Blockwise bootstrapped empirical process for stationary sequences
• Resampling methods for dependent data
• Mark to market value at risk
• Dynamic semiparametric models for expected shortfall (and value-at-risk)
• Tail risk and return predictability for the Japanese equity market
• Coherent Measures of Risk
• Do financial returns have finite or infinite variance? A paradox and an explanation
• A Generalization of the Quasilinear Mean with Applications to the Measurement of Income Inequality and Decision Theory Resolving the Allais Paradox
• Buffered Probability of Exceedance: Mathematical Properties and Optimization
• Empirical properties of asset returns: stylized facts and statistical issues
• The Dual Theory of Choice under Risk
• On blocking rules for the bootstrap with dependent data
• Quantile-Based Risk Sharing
• An efficient approach to quantile capital allocation and sensitivity analysis
• Convergence and efficiency of subgradient methods for quasiconvex minimization

This page was built for publication: PELVE: probability equivalent level of VaR and ES