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

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Cited in

(5)

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

Describes a project that uses

Uses Software

• QRM

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