Uncertainty Comparison Between Value-at-Risk and Expected Shortfall

DOI10.4208/CMR.2022-0071MaRDI QIDQ6122965zbMATH OpenOpenAlexFDO

Authors Qing Liu, Wei-min Liu, Liang Peng, Gengsheng Qin

Publication date 4 March 2024

Published in Communications in Mathematical Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4208/cmr.2022-0071

zbMATH Keywords

expected shortfall\(\alpha\)-mixingasymptotic variancevalue-at-risk

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A nonparametric approach to calculating value-at-risk
• Comparative and qualitative robustness for law-invariant risk measures
• Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory
• External risk measures and Basel accords
• Higher order elicitability and Osband's principle
• Making and evaluating point forecasts
• NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY
• Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
• Nonparametric estimation of value-at-risk
• Robustness and sensitivity analysis of risk measurement procedures
• When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management

Cited in

(1)

• A simple empirical inquiry concerning tail risk

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