Estimation methods for expected shortfall
From MaRDI portal
Publication:2879025
DOI10.1080/14697688.2013.816767zbMath1294.91196OpenAlexW2080296340MaRDI QIDQ2879025
Stephen Chan, Bo Zhang, Saralees Nadarajah
Publication date: 5 September 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2013.816767
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)
Related Items
Trade and currency options hedging model ⋮ Nonparametric estimation of 100(1 − p)% expected shortfall: p → 0 as sample size is increased ⋮ Truncated skewed type III generalized logistic distribution: risk measurement applications ⋮ An explicit version of the Chebyshev-Markov-Stieltjes inequalities and its applications ⋮ The riskiness of stock versus money market investment with stochastic rates ⋮ How does the choice of Value-at-Risk estimator influence asset allocation decisions? ⋮ COMPARING THE SMALL-SAMPLE ESTIMATION ERROR OF CONCEPTUALLY DIFFERENT RISK MEASURES ⋮ A parsimonious parametric model for generating margin requirements for futures ⋮ A joint quantile and expected shortfall regression framework ⋮ An R Package for Value at Risk and Expected Shortfall ⋮ Joint generalized quantile and conditional tail expectation regression for insurance risk analysis ⋮ ON SOME PROPERTIES OF TWO VECTOR-VALUED VAR AND CTE MULTIVARIATE RISK MEASURES FOR ARCHIMEDEAN COPULAS ⋮ Modelling skewed and heavy-tailed data using a normal weighted inverse Gaussian distribution ⋮ Computation of expected shortfall by fast detection of worst scenarios
Cites Work
- Properties and estimation of asymmetric exponential power distribution
- Large-sample confidence intervals for risk measures of location-scale families
- Modeling Hong Kong's stock index with the Student \(t\)-mixture autoregressive model
- Modeling chinese stock returns with stable distribution
- Upper comonotonicity
- A generalized asymmetric Student-\(t\) distribution with application to financial econometrics
- Risk capital decomposition for a multivariate dependent gamma portfolio
- Modelling the financial risk associated with U.S. Movie box office earnings
- Estimating conditional tail expectation with actuarial applications in view
- Fitting bivariate cumulative returns with copulas
- Approximating the distributions of estimators of financial risk under an asymmetric Laplace law
- On a multivariate gamma
- Bayesian estimation of generalized hyperbolic skewed student GARCH models
- Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution
- Characterization of upper comonotonicity via tail convex order
- Strategic long-term financial risks: single risk factors
- Coherent Measures of Risk
- Financial Data and the Skewed Generalized T Distribution
- Option pricing for GARCH-type models with generalized hyperbolic innovations
- Nonparametric Risk Management With Generalized Hyperbolic Distributions
- Tables for Computing Bivariate Normal Probabilities
- On estimating the conditional expected shortfall
- Marginal Decomposition of Risk Measures
- Option Pricing With V. G. Martingale Components1
- Analytical Evaluation of Economic Risk Capital for Portfolios of Gamma Risks
- Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
- Analytical Bounds for two Value-at-Risk Functionals
- Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
- A Skew Extension of the T-Distribution, with Applications
- Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework
- The Variance Gamma Process and Option Pricing
- VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS
- Distortion Risk Measures and Economic Capital
- Evaluating the RiskMetrics methodology in measuring volatility and Value-at-Risk in financial markets
