On estimating the conditional expected shortfall

DOI10.1002/asmb.729zbMath1199.62051OpenAlexW2248169913MaRDI QIDQ3552644

Franco Peracchi, Andrei V. Tanase

Publication date: 22 April 2010

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2108/36553

zbMATH Keywords

quantile regressionlogistic regressionrisk measuresvalue at risk

Mathematics Subject Classification ID

Related Items (10)

Bayesian CV@R/super-quantile regression ⋮ Nonparametric kernel estimation of expected shortfall under negatively associated sequences ⋮ Asymptotically efficient estimation of the conditional expected shortfall ⋮ Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk ⋮ MODEL-FREE INFERENCE FOR TAIL RISK MEASURES ⋮ Nonparametric kernel estimation of CVaR under \(\alpha\)-mixing sequences ⋮ Measures of Residual Risk with Connections to Regression, Risk Tracking, Surrogate Models, and Ambiguity ⋮ Computation of expected shortfall by fast detection of worst scenarios ⋮ Multi-stage stochastic model in portfolio selection problem ⋮ Estimation methods for expected shortfall

Cites Work

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• Regression Quantiles
• Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure
• Application of Coherent Risk Measures to Capital Requirements in Insurance
• On estimating conditional quantiles and distribution functions.

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