Mehlitz, Julia S.; Auer, Benjamin R. - In: The Journal of Risk Finance 21 (2020) 4, pp. 355-397
Purpose: Motivated by the growing importance of the expected shortfall in banking and finance, this study aims to compare the performance of popular non-parametric estimators of the expected shortfall (i.e. different variants of historical, outlier-adjusted and kernel methods) to each other,...