Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall

Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk)

Expected Shortfall (ES) is the average return on a risky asset conditional on the return being below some quantile of its distribution, namely its Value-at-Risk (VaR). The Basel III Accord, which will be implemented in the years leading up to 2019, places new attention on ES, but unlike VaR, there is little existing work on modeling ES. We use recent results from statistical decision theory to ...

Expected Shortfall: a natural coherent alternative to Value at Risk

We discuss the coherence properties of Expected Shortfall (ES) as a financial risk measure. This statistic arises in a natural way from the estimation of the “average of the 100p% worst losses” in a sample of returns to a portfolio. Here p is some fixed confidence level. We also compare several alternative representations of ES which turn out to be more appropriate for certain purposes.

Expected Shortfall: a natural coherent alternative to Value at Risk

Estimating Value at Risk and Expected Shortfall Using Expectiles

A Semiparametric Approach to Value-at-Risk, Expected Shortfall and Optimum Asset Allocation in Stock-Bond Portfolios

This paper investigates stock-bond portfolios’tail risks such as value-at-risk (VaR) and expected shortfall (ES), and the way in which these measures have been a¤ected by the global …nancial crisis. The semiparametric t-copula is found to be adequate for modelling stock-bond joint distributions of G7 countries and Australia. Empirical results show that weak (negative) dependence has increased f...