Adjusted empirical likelihood for value at risk and expected shortfall
DOI10.1080/03610926.2014.1002933zbMATH Open1367.62287OpenAlexW2496161487MaRDI QIDQ2979015FDOQ2979015
Authors: Zhen Yan, Junjian Zhang 
Publication date: 2 May 2017
Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2014.1002933
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Nonparametric estimation (62G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Cites Work
- Coherent measures of risk
- Bounds on coverage probabilities of the empirical likelihood ratio confidence regions.
- Application of Coherent Risk Measures to Capital Requirements in Insurance
- Nonparametric risk management and implied risk aversion
- Semiparametric estimation of Value at Risk
- Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
Cited In (11)
- Tabulations for value at risk and expected shortfall
- On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails
- Nonparametric inference for VaR, CTE, and expectile with high-order precision
- First and second order asymptotics of the spectral risk measure for portfolio loss under multivariate regular variation
- Calibrating Distribution Models from PELVE
- A confidence interval procedure for expected shortfall risk measurement via two-level simulation
- Title not available (Why is that?)
- Asymptotic behavior of expected shortfall for portfolio loss under bivariate dependent structure
- Probability equivalent level of value at risk and higher-order expected shortfalls
- Empirical likelihood-based evaluations of value at risk models
- Adjusted higher-order expected shortfall
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