Related papers: Expected Shortfall Panel Regression
Expected shortfall (ES), also known as conditional value-at-risk, is a widely recognized risk measure that complements value-at-risk by capturing tail-related risks more effectively. Compared with quantile regression, which has been…
Expected Shortfall (ES), also known as superquantile or Conditional Value-at-Risk, has been recognized as an important measure in risk analysis and stochastic optimization, and is also finding applications beyond these areas. In finance, it…
We propose an $\ell_1$-penalized estimator for high-dimensional models of Expected Shortfall (ES). The estimator is obtained as the solution to a least-squares problem for an auxiliary dependent variable, which is defined as a…
To provide a comprehensive summary of the tail distribution, the expected shortfall is defined as the average over the tail above (or below) a certain quantile of the distribution. The expected shortfall regression captures the…
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…
Expected shortfall is defined as the average over the tail below (or above) a certain quantile of a probability distribution. Expected shortfall regression provides powerful tools for learning the relationship between a response variable…
A new semi-parametric Expected Shortfall (ES) estimation and forecasting framework is proposed. The proposed approach is based on a two-step estimation procedure. The first step involves the estimation of Value-at-Risk (VaR) at different…
Expected Shortfall (ES) in several variants has been proposed as remedy for the defi-ciencies of Value-at-Risk (VaR) which in general is not a coherent risk measure. In fact, most definitions of ES lead to the same results when applied to…
This paper introduces novel backtests for the risk measure Expected Shortfall (ES) following the testing idea of Mincer and Zarnowitz (1969). Estimating a regression framework for the ES stand-alone is infeasible, and thus, our tests are…
We propose an original two-part, duration-severity approach for backtesting Expected Shortfall (ES). While Probability Integral Transform (PIT) based ES backtests have gained popularity, they have yet to allow for separate testing of the…
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…
Expected Shortfall (ES), the average loss above a high quantile, is the current financial regulatory market risk measure. Its estimation and optimization are highly unstable against sample fluctuations and become impossible above a critical…
Expected Shortfall (ES) is the average return on a risky asset conditional on the return being below some quantile of its distribution, namely its Value-at-Risk (VaR). The Basel III Accord, which will be implemented in the years leading up…
The issue related to the quantification of the tail risk of cryptocurrencies is considered in this paper. The statistical methods used in the study are those concerning recent developments in Extreme Value Theory (EVT) for weakly dependent…
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 introduce a semiparametric approach for forecasting Value-at-Risk (VaR) and Expected Shortfall (ES) by modeling the conditional scale of financial returns, defined as the difference between two specified quantiles, via restricted…
A novel forecast combination and weighted quantile based tail-risk forecasting framework is proposed, aiming to reduce the impact of modelling uncertainty in tail-risk forecasting. The proposed approach is based on a two-step estimation…
We introduce new forecast encompassing tests for the risk measure Expected Shortfall (ES). The ES currently receives much attention through its introduction into the Basel III Accords, which stipulate its use as the primary market risk…
In financial risk management, Value at Risk (VaR) is widely used to estimate potential portfolio losses. VaR's limitation is its inability to account for the magnitude of losses beyond a certain threshold. Expected Shortfall (ES) addresses…
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…