Browsing by Subject "Expected Shortfall"
Now showing items 1-3 of 3
-
Estimation of Conditional Weighted Expected Shortfall under Adjusted Extreme Quantile Autoregression
(Scientific Research Publishing Inc., 2021-07-14)In this paper, we present an estimator that improves the well-calibrated coherent risk measure: expected shortfall by restructuring its functional form to incorporate dynamic weights on extreme conditional quantiles used ... -
Nonparametric Prediction Interval for Conditional Expected Shortfall Admitting a Location-Scale Model using Bootstrap Method
(MksU Press, 2021-06)In financial risk management, the expected shortfall is a popular risk measure which is often considered as an alternative to Value-at-Risk. It is defined as the conditional expected loss given that the loss is greater ... -
Nonparametric Prediction Interval for Conditional Expected Shortfall Admittinga Location-Scale Model using Bootstrap Method
(Machakos University, 2019-04)Infinancialriskmanagement,theexpectedshortfallisapopularriskmeasurewhichisoften considered as an alternative to Value-at-Risk. It is defined as the conditional expected loss given that the loss is greater than a given ...
