Bayes risk, elicitability, and the Expected Shortfall

Mathematical Finance ◽

10.1111/mafi.12313 ◽

2021 ◽

Author(s):

Paul Embrechts ◽

Tiantian Mao ◽

Qiuqi Wang ◽

Ruodu Wang

Keyword(s):

Expected Shortfall ◽

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Bayes Risk, Elicitability, and the Expected Shortfall

SSRN Electronic Journal ◽

10.2139/ssrn.3708379 ◽

2020 ◽

Author(s):

Paul Embrechts ◽

Tiantian Mao ◽

Qiuqi Wang ◽

Ruodu Wang

Keyword(s):

Expected Shortfall ◽

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Backtesting general spectral risk measures with application to expected shortfall

The Journal of Risk Model Validation ◽

10.21314/jrmv.2015.131 ◽

2015 ◽

Vol 9 (1) ◽

pp. 21-31 ◽

Author(s):

Nick Costanzino ◽

Mike Curran

Keyword(s):

Risk Measures ◽

Expected Shortfall ◽

Spectral Risk Measures

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Estimation risk for value-at-risk and expected shortfall

The Journal of Risk ◽

10.21314/jor.2018.376 ◽

2018 ◽

Author(s):

Paul Kabaila ◽

Rheanna Mainzer

Keyword(s):

At Risk ◽

Value At Risk ◽

Expected Shortfall ◽

Estimation Risk

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Simulation of the annual loss distribution in operational risk via Panjer recursions and Volterra integral equations for value-at-risk and expected shortfall estimation

The Journal of Operational Risk ◽

10.21314/jop.2007.031 ◽

2007 ◽

Vol 2 (3) ◽

pp. 29-58 ◽

Author(s):

Gareth Peters ◽

Adam Johansen ◽

Arnaud Doucet

Keyword(s):

At Risk ◽

Integral Equations ◽

Value At Risk ◽

Operational Risk ◽

Expected Shortfall ◽

Volterra Integral Equations ◽

Loss Distribution ◽

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Efficient calculation of expected shortfall contributions in large credit portfolios

The Journal of Computational Finance ◽

10.21314/jcf.2007.162 ◽

2007 ◽

Vol 11 (2) ◽

pp. 1-43 ◽

Author(s):

Michael Kalkbrener ◽

Anna Kennedy ◽

Monika Popp

Keyword(s):

Expected Shortfall ◽

Efficient Calculation

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Conditional Encompassing Test for Expected Shortfall Jointly Elicitable with Value-at-Risk

SSRN Electronic Journal ◽

10.2139/ssrn.3377805 ◽

2019 ◽

Author(s):

Xiaochun Liu

Keyword(s):

At Risk ◽

Value At Risk ◽

Expected Shortfall ◽

Encompassing Test

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A Regression-based Joint Encompassing Test for Value-at-Risk and Expected Shortfall Forecasts

SSRN Electronic Journal ◽

10.2139/ssrn.3497321 ◽

2019 ◽

Author(s):

Xiaochun Liu

Keyword(s):

At Risk ◽

Value At Risk ◽

Expected Shortfall ◽

Encompassing Test

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Expected Shortfall – An Alternative Risk Measure to Value-at-Risk

SSRN Electronic Journal ◽

10.2139/ssrn.3514508 ◽

2020 ◽

Author(s):

Shiu-Wah Chu ◽

Ritabrata Bhattacharyya

Keyword(s):

At Risk ◽

Value At Risk ◽

Risk Measure ◽

Expected Shortfall

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Multivariate Quantile Regressions and EVT Approach to Expected Shortfall Estimation

SSRN Electronic Journal ◽

10.2139/ssrn.3557867 ◽

2020 ◽

Author(s):

Emilien Audeguil

Keyword(s):

Expected Shortfall ◽

Quantile Regressions ◽

Multivariate Quantile

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Cooperative sensing of improved energy detector based on minimum Bayes risk

11th International Conference on Wireless Communications, Networking and Mobile Computing (WiCOM 2015) ◽

10.1049/cp.2015.0660 ◽

2015 ◽

Author(s):

Yang Zheng ◽

Ting Peng ◽

Yuebin Chen ◽

Jianpei Chen ◽

Lin Gao

Keyword(s):

Energy Detector ◽

Cooperative Sensing ◽

Improved Energy Detector ◽

Minimum Bayes Risk

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