A joint quantile and expected shortfall regression framework
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Publication:62993
DOI10.1214/19-EJS1560zbMATH Open1460.62165arXiv1704.02213WikidataQ127727566 ScholiaQ127727566MaRDI QIDQ62993FDOQ62993
Authors: Timo Dimitriadis, Sebastian Bayer, Timo Dimitriadis, Sebastian Bayer 
Publication date: 1 January 2019
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Abstract: We introduce a novel regression framework which simultaneously models the quantile and the Expected Shortfall (ES) of a response variable given a set of covariates. This regression is based on a strictly consistent loss function for the pair quantile and ES, which allows for M- and Z-estimation of the joint regression parameters. We show consistency and asymptotic normality for both estimators under weak regularity conditions. The underlying loss function depends on two specification functions, whose choice affects the properties of the resulting estimators. We find that the Z-estimator is numerically unstable and thus, we rely on M-estimation of the model parameters. Extensive simulations verify the asymptotic properties and analyze the small sample behavior of the M-estimator for different specification functions. This joint regression framework allows for various applications including estimating, forecasting, and backtesting ES, which is particularly relevant in light of the recent introduction of ES into the Basel Accords.
Full work available at URL: https://arxiv.org/abs/1704.02213
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Nonparametric regression and quantile regression (62G08) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited In (13)
- Estimation of complier expected shortfall treatment effects with a binary instrumental variable
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- A joint quantile and expected shortfall regression framework
- Elicitability and identifiability of set-valued measures of systemic risk
- Deep quantile and deep composite triplet regression
- Multistep quantile forecasts for supply chain and logistics operations: bootstrapping, the GARCH model and quantile regression based approaches
- Loss function-based change point detection in risk measures
- Measurability of functionals and of ideal point forecasts
- Inference for joint quantile and expected shortfall regression
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