Value-at-risk and expected shortfall relationship

MaRDI QIDQ3454059zbMATH OpenFDO

Authors Aniq A. Rohmawati, K. I. A. Syuhada

Publication date 2 December 2015

Full work available at URL http://www.ceser.in/ceserp/index.php/ijamas/article/view/3726

zbMATH Keywords

coverage probabilityoptimizationrisk measure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(7)

• Comparison of risks based on the expected proportional shortfall
• Probability equivalent level of value at risk and higher-order expected shortfalls
• The optimal portfolio under VaR and ES
• COMPARATIVE ANALYSES OF EXPECTED SHORTFALL AND VALUE-AT-RISK(Special Issue on Theory, Methodology and Applications in Financial Engneering)
• Tabulations for value at risk and expected shortfall
• Expected Shortfall Under a Model With Market and Credit Risks
• The expected-based value-at-risk and expected shortfall using quantile and expectile with application to electricity market data

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