Asymptotically efficient estimation of the conditional expected shortfall

DOI10.1016/J.CSDA.2011.02.020MaRDI QIDQ433233zbMATHOpenAlexFDO

Authors Samantha Leorato, Franco Peracchi, Andrei V. Tanase

Publication date 13 July 2012

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL http://www.eief.it/files/2012/09/wp-13-asymptotically-efficient-estimation-of-the-conditional-expected-shortfall.pdf

zbMATH Keywords

quantile regression

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Monte Carlo methods (65C05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(12)

• Computation of expected shortfall by fast detection of worst scenarios
• Measures of Residual Risk with Connections to Regression, Risk Tracking, Surrogate Models, and Ambiguity
• Nonparametric kernel estimation of CVaR under \(\alpha\)-mixing sequences
• Inference for joint quantile and expected shortfall regression
• Statistically efficient construction of \(a\)-risk-minimizing portfolio
• Expectile and quantile regression—David and Goliath?
• Bayesian CV@R/super-quantile regression
• Asymptotics for Operational Risk Quantified with Expected Shortfall
• Modified marginal expected shortfall under asymptotic dependence
• Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk
• Nonparametric kernel estimation of expected shortfall under negatively associated sequences
• On estimating the conditional expected shortfall

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