On estimating the conditional expected shortfall

Franco Peracchi · Andrei V. Tanase

34 citations0/0 files storedApplied Stochastic Models in Business and Industry

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Financial Risk and Volatility Modeling Risk and Portfolio Optimization Probability and Risk Models

Abstract

Abstract Unlike the value at risk, the expected shortfall is a coherent measure of risk. In this paper, we discuss estimation of the expected shortfall of a random variable Yt with special reference to the case when auxiliary information is available in the form of a set of predictors Xt. We consider three classes of estimators of the conditional expected shortfall of Yt given Xt: a class of fully non‐parametric estimators and two classes of analog estimators based, respectively, on the empirical conditional quantile function and the empirical conditional distribution function. We study their sampling properties by means of a set of Monte Carlo experiments and analyze their performance in an empirical application to financial data. Copyright © 2008 John Wiley & Sons, Ltd.

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References

1999Coherent Measures of Risk 1997Modelling Extremal Events 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach 2002On the coherence of expected shortfall 1983Ranking Income Distributions 2002Coherent Risk Measures on General Probability Spaces 2004Pessimistic Portfolio Allocation and Choquet Expected Utility

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