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Expected shortfall or median shortfall
Kou, Steven; Peng, Xianhua - In: Journal of financial engineering 1 (2014) 1, pp. 1-6
Persistent link: https://www.econbiz.de/10010508103
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On exactitude in financial regulation : value-at-risk, expected shortfall, and expectiles
Chen, Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-28
This article reviews two leading measures of financial risk and an emerging alternative. Embraced by the Basel accords, value-at-risk and expected shortfall are the leading measures of financial risk. Expectiles offset the weaknesses of value-at-risk (VaR) and expected shortfall. Indeed,...
Persistent link: https://www.econbiz.de/10011867427
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Limit theory for forecasts of extreme distortion risk measures and expectiles
Hoga, Yannick - In: Journal of financial econometrics 20 (2022) 1, pp. 18-44
Persistent link: https://www.econbiz.de/10012878185
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Backtesting expected shortfall and beyond
Deng, Kaihua; Qiu, Jie - In: Quantitative finance 21 (2021) 7, pp. 1109-1125
Persistent link: https://www.econbiz.de/10012588022
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Forecast combinations for value at risk and expected shortfall
Taylor, James W. - In: International journal of forecasting 36 (2020) 2, pp. 428-441
Persistent link: https://www.econbiz.de/10012415069
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Back to backtesting : integrated backtesting for value-at-risk and expected shortfall in practice
Wehn, Carsten - In: The journal of risk model validation 12 (2018) 4, pp. 17-39
Persistent link: https://www.econbiz.de/10011992015
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Forecasting value at risk and expected shortfall using a semiparametric approach based on the asymmetric laplace distribution
Taylor, James W. - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 1, pp. 121-133
Persistent link: https://www.econbiz.de/10012176554
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Backtesting Value at Risk and Expected Shortfall
Roccioletti, Simona - 2016 - 1st ed. 2016
Risk measures and their properties -- Elicitability -- Backtesting (VaR and ES) -- Empirical Analysis -- MATLAB code. … particular she studies the new (and heavily discussed) property of "Elicitability" of a risk measure. More important, she …. Contents Risk measures and their properties Elicitability Backtesting (VaR and ES) Empirical Analysis MATLAB code Target Groups …
Persistent link: https://www.econbiz.de/10014018353
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Forecasting expected shortfall : should we use a multivariate model for stock market factors?
Fortin, Alain-Philippe; Simonato, Jean-Guy; Dionne, Georges - In: International journal of forecasting 39 (2023) 1, pp. 314-331
Persistent link: https://www.econbiz.de/10014462782
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Backtesting value at risk and expected shortfall
Roccioletti, Simona - 2016 - 1st ed. 2016
Persistent link: https://www.econbiz.de/10011411468