Estimation of multiple period expected shortfall and median shortfall for risk management
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Publication:2869963
DOI10.1080/14697681003785967zbMATH Open1278.91192OpenAlexW2022271436MaRDI QIDQ2869963FDOQ2869963
Authors: Mike K. P. So, Chi-ming Wong 
Publication date: 17 January 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10453/18911
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Cites Work
- Coherent measures of risk
- Quadratic ARCH Models
- Tools for statistical inference. Methods for the exploration of posterior distributions and likelihood functions.
- Financial data and the skewed generalized \(t\) distribution
- Application of Coherent Risk Measures to Capital Requirements in Insurance
- Measures of risk
- Term structure of risk under alternative econometric specifications
Cited In (15)
- On the Measurement of Economic Tail Risk
- 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
- Approximation methods for multiple period Value at Risk and Expected Shortfall prediction
- Estimation methods for expected shortfall
- Computation of expected shortfall by fast detection of worst scenarios
- On risk management problems related to a coherence property
- Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution
- VaR and expected shortfall: a non-normal regime switching framework
- Risk quantification and validation for Bitcoin
- Modeling long term return distribution and nonparametric market risk estimation
- Statistical inference for conditional quantiles in nonlinear time series models
- Backtesting extreme value theory models of expected shortfall
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