Related papers: An elementary proof of the dual representation of …
The expectile can be considered as a generalization of quantile. While expected shortfall is a quantile based risk measure, we study its counterpart -- the expectile based expected shortfall -- where expectile takes the place of quantile.…
The problem of estimation error of Expected Shortfall is analyzed, with a view of its introduction as a global regulatory risk measure.
We study the properties of Expected Shortfall from the point of view of financial risk management. This measure --- which emerges as a natural remedy in some cases where Value at Risk (VaR) is not able to distinguish portfolios which bear…
Marginal expected shortfall is unquestionably one of the most popular systemic risk measures. Studying its extreme behaviour is particularly relevant for risk protection against severe global financial market downturns. In this context,…
Our primary aim is to find an estimate of the expected shortfall in various situations: (1) Nonparametric situation, when the probability distribution of the incurred loss is unknown, only satisfying some general conditions. Then, following…
We propose a new backtesting framework for Expected Shortfall that could be used by the regulator. Instead of looking at the estimated capital reserve and the realised cash-flow separately, one could bind them into the secured position, for…
It is well known that Expected Shortfall (also called Average Value-at-Risk) is a convex risk measure, i. e. Expected Shortfall of a convex linear combination of arbitrary risk positions is not greater than a convex linear combination with…
Quantiles and expected shortfalls are commonly used risk measures in financial risk management. The two measurements are correlated while have distinguished features. In this project, our primary goal is to develop stable and practical…
Expectile bears some interesting properties in comparison to the industry wide expected shortfall in terms of assessment of tail risk. We study the relationship between expectile and expected shortfall using duality results and the link to…
We consider coherent sublinear expectations on a measurable space, without assuming the existence of a dominating probability measure. By considering a decomposition of the space in terms of the supports of the measures representing our…
We propose dual regression as an alternative to the quantile regression process for the global estimation of conditional distribution functions under minimal assumptions. Dual regression provides all the interpretational power of the…
We derive the joint asymptotic distribution of empirical quantiles and expected shortfalls under general conditions on the distribution of the underlying observations. In particular, we do not assume that the distribution function is…
This paper proposes a novel class of generalized Expected-Shortfall (ES) norms constructed via distortion risk measures, establishing a unified analytical framework for risk quantification. The proposed norms extend conventional ES…
We discuss the coherence properties of Expected Shortfall (ES) as a financial risk measure. This statistic arises in a natural way from the estimation of the "average of the 100p % worst losses" in a sample of returns to a portfolio. Here p…
A short and elementary proof of the joint convexity of relative entropy is presented, using nothing beyond linear algebra. The key ingredients are an easily verified integral representation and the strategy used to prove the Cauchy-Schwarz…
We introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by simultaneously controlling the expected losses associated with different portions of the tail distribution. The corresponding…
We study a general risk measure called the generalized shortfall risk measure, which was first introduced in Mao and Cai (2018). It is proposed under the rank-dependent expected utility framework, or equivalently induced from the cumulative…
We present the Shortfall Deviation Risk (SDR), a risk measure that represents the expected loss that occurs with certain probability penalized by the dispersion of results that are worse than such an expectation. SDR combines Expected…
Financial institutions have to allocate so-called "economic capital" in order to guarantee solvency to their clients and counter parties. Mathematically speaking, any methodology of allocating capital is a "risk measure", i.e. a function…
Via a covariance representation based on characteristic functions, a known elementary proof of the Gaussian concentration inequality is presented. A few other applications are briefly mentioned.