Hamidi, Benjamin; Kouontchou, Patrick; Maillet, Bertrand - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010
The objective of this paper is to provide a complete framework to aggregate different quantile and expectile models for obtaining more diversified Value-at-Risk and Expected Shortfall measures, by applying the diversification principle to model risk. Following Taylor (2008) and Gouriéroux and...