PELVE: probability equivalent level of VaR and ES

DOI10.1016/J.JECONOM.2021.12.012OpenAlexW4220720576MaRDI QIDQ2697992FDOQ2697992

Authors: 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

expected shortfallheavy tailsvalue-at-riskportfolio diversificationregulatory capital

Mathematics Subject Classification ID

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

Cites Work

• Dynamic semiparametric models for expected shortfall (and value-at-risk)
• Coherent measures of risk
• Higher order elicitability and Osband's principle
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• The Dual Theory of Choice under Risk
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• Do financial returns have finite or infinite variance? A paradox and an explanation
• Blockwise bootstrapped empirical process for stationary sequences
• 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
• Aggregation-robustness and model uncertainty of regulatory risk measures
• A Generalization of the Quasilinear Mean with Applications to the Measurement of Income Inequality and Decision Theory Resolving the Allais Paradox
• Convergence and efficiency of subgradient methods for quasiconvex minimization
• Buffered Probability of Exceedance: Mathematical Properties and Optimization
• Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies
• Quantile-Based Risk Sharing
• Tail risk and return predictability for the Japanese equity market
• Mark to market value at risk
• An efficient approach to quantile capital allocation and sensitivity analysis

Cited In (5)

• Range-based risk measures and their applications
• Diversification quotients based on VaR and ES
• Calibrating Distribution Models from PELVE
• Generalized PELVE and applications to risk measures
• Inter-order relations between equivalence for \(L_p\)-quantiles of the Student's \(t\) distribution

Uses Software

• QRM

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