Estimation of Conditional Weighted Expected Shortfall under Adjusted Extreme Quantile Autoregression

Journal of Mathematical Finance ◽

10.4236/jmf.2021.113021 ◽

2021 ◽

Vol 11 (03) ◽

pp. 373-385

Author(s):

Martin M. Kithinji ◽

Peter N. Mwita ◽

Ananda O. Kube

Keyword(s):

Expected Shortfall ◽

Extreme Quantile ◽

Quantile Autoregression

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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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Nonparametric expected shortfall forecasting incorporating weighted quantiles

International Journal of Forecasting ◽

10.1016/j.ijforecast.2021.04.004 ◽

2021 ◽

Author(s):

Giuseppe Storti ◽

Chao Wang

Keyword(s):

Expected Shortfall

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Backtesting expected shortfall and beyond

Quantitative Finance ◽

10.1080/14697688.2020.1834120 ◽

2021 ◽

pp. 1-17

Author(s):

Kaihua Deng ◽

Jie Qiu

Keyword(s):

Expected Shortfall

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