Forecast encompassing tests for the expected shortfall
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DOI: 10.1016/j.ijforecast.2020.07.008
Abstract: Abstract We introduce new forecast encompassing tests for the risk measure Expected Shortfall (ES). The ES has received much attention since its introduction into the Basel III Accords, which stipulate its use as the primary… read more here.
Keywords: forecast encompassing; encompassing tests; expected shortfall; tests expected ... See more keywords
Dependent bootstrapping for value-at-risk and expected shortfall
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DOI: 10.1057/s41283-017-0023-y
Abstract: Estimation in extreme financial risk is often faced with challenges such as the need for adequate distributional assumptions, considerations for data dependencies, and the lack of tail information. Bootstrapping provides an alternative that overcomes some… read more here.
Keywords: dependent bootstrapping; value risk; risk; risk expected ... See more keywords
Tabulations for value at risk and expected shortfall
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DOI: 10.1080/03610926.2015.1116572
Abstract: ABSTRACT Value at risk and expected shortfall are the two most popular measures of financial risk. Here, we tabulate expressions for both these measures for over 100 parametric distributions, including all commonly known distributions, and… read more here.
Keywords: value risk; risk; risk expected; expected shortfall ... See more keywords
Portfolio optimization based on modified expected shortfall
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DOI: 10.1108/sef-05-2018-0160
Abstract: Purpose An investor is expected to analyze the market risk while investing in equity stocks. This is because the investor has to choose a portfolio which maximizes the return with a minimum risk. The mean-variance… read more here.
Keywords: expected shortfall; portfolio optimization; modified expected; portfolio ... See more keywords
Expected Shortfall for the Makespan in Activity Networks With Fuzzy Durations
Sign Up to like & getrecommendations! Published in 2022 at "IEEE Transactions on Fuzzy Systems"
DOI: 10.1109/tfuzz.2021.3069340
Abstract: This article deals with the evaluation of the expected shortfall or the conditional value-at-risk for the makespan in scheduling problems represented as temporal activity networks where we assume that only a type-1 fuzzy representation for… read more here.
Keywords: activity networks; shortfall makespan; activity; evaluation expected ... See more keywords
Optimizing Expected Shortfall under an ℓ1 Constraint—An Analytic Approach
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DOI: 10.3390/e23050523
Abstract: Expected Shortfall (ES), the average loss above a high quantile, is the current financial regulatory market risk measure. Its estimation and optimization are highly unstable against sample fluctuations and become impossible above a critical ratio… read more here.
Keywords: portfolio; optimizing expected; expected shortfall; constraint ... See more keywords