Dynamic semiparametric models for expected shortfall (and Value-at-Risk)

Dynamic semiparametric models for expected shortfall (and Value-at-Risk)

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 to 2019, places new attention on ES, but unlike VaR, there i...

Full description

Bibliographic Details
Main Authors: Chen, R. (Author), Patton, A.J (Author), Ziegel, J.F (Author)
Format: Article
Language:English
Published: Elsevier Ltd 2019
Subjects:
Auto-regressive
Crashes
Decision theory
Expected shortfall
Finite sample properties
Forecasting
Generalized autoregressive score
Risk assessment
Risk management
Sampling
Semiparametric models
Simulation studies
Statistical decision theory
Tails
Value engineering
Online Access:View Fulltext in Publisher

Internet

View Fulltext in Publisher

Similar Items