Estimation of multiple period expected shortfall and median shortfall for risk management
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Publication:2869963
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Cites work
- Application of Coherent Risk Measures to Capital Requirements in Insurance
- Coherent measures of risk
- Financial data and the skewed generalized \(t\) distribution
- Measures of risk
- Quadratic ARCH Models
- Term structure of risk under alternative econometric specifications
- Tools for statistical inference. Methods for the exploration of posterior distributions and likelihood functions.
Cited in
(19)- Backtesting extreme value theory models of expected shortfall
- ESTIMATION RISK IN GARCH VaR AND ES ESTIMATES
- Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility
- Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management
- Bayesian analysis of tail asymmetry based on a threshold extreme value model
- A regression analysis of expected shortfall
- Approximation methods for multiple period Value at Risk and Expected Shortfall prediction
- Estimation methods for expected shortfall
- Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk
- Computation of expected shortfall by fast detection of worst scenarios
- On risk management problems related to a coherence property
- Econometric modeling of risk measures: a selective review of the recent literature
- Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution
- On the measurement of economic tail risk
- VaR and expected shortfall: a non-normal regime switching framework
- Risk quantification and validation for Bitcoin
- Estimating value-at-risk and expected shortfall using the intraday low and range data
- Modeling long term return distribution and nonparametric market risk estimation
- Statistical inference for conditional quantiles in nonlinear time series models
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