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Nonparametric estimation of conditional VaR and expected shortfall · Study

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ArticleNonparametric estimation of conditional VaR and expected shortfall

Zongwu Cai2008

Article2008

Nonparametric estimation of conditional VaR and expected shortfall

Zongwu Cai · Xian Wang

123 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Statistical Methods and Inference Risk and Portfolio Optimization

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References

1999Coherent Measures of Risk 2000Optimization of conditional value-at-risk 2004CAViaR 2002On the coherence of expected shortfall 1997An Overview of Value at Risk 2001Value at Risk 2003Credit Risk : Pricing, Measurement, and Management 2002MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS

Cited by

2019An Axiomatic Foundation for the Expected Shortfall 2012Mean–CVaR portfolio selection: A nonparametric estimation framework 2013Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk 2016NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY 2012Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics 2014Quantile Regression in Risk Calibration

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2016NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORYarticle · 8 shared references 2012Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptoticsarticle · 8 shared references 2004Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreementsarticle · 6 shared references 2023Nonparametric Estimation of Conditional Expected Shortfallarticle · 6 shared references 2003Shortfall as a risk measure: properties, optimization and applicationsarticle · 5 shared references 2013A comprehensive review of Value at Risk methodologiesarticle · 5 shared references

Details

Year2008

Typearticle

Published2008-09-12

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations123

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2008.09.005

openalex_workW2000185500

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2013

A nonparametric approach to calculating value-at-risk

2018The Minimum-CVaR strategy with semi-parametric estimation in carbon market hedging problems