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Estimation methods for expected shortfall

Estimation methods for expected shortfall Introduced in the 1980s, value at risk has been a popular measure of financial risk. However, value at risk suffers from a number of drawbacks as measure of financial risk. An alternative measure referred to as expected shortfall was introduced in late 1990s to circumvent these drawbacks. Much theory have been developed since then. The developments have been most intensive in recent years.However, we are not aware of any comprehensive review of known estimation methods for expected shortfall. We feel it is timely that such a review is written. This paper (containing six sections and over 140 references) attempts that task with emphasis on recent developments. We expect this review to serve as a source of reference and encourage further research with respect to measures of financial risk. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Quantitative Finance Taylor & Francis

Estimation methods for expected shortfall

Quantitative Finance , Volume 14 (2): 21 – Feb 1, 2014
21 pages

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References (142)

Publisher
Taylor & Francis
Copyright
Copyright Taylor & Francis Group, LLC
ISSN
1469-7696
eISSN
1469-7688
DOI
10.1080/14697688.2013.816767
Publisher site
See Article on Publisher Site

Abstract

Introduced in the 1980s, value at risk has been a popular measure of financial risk. However, value at risk suffers from a number of drawbacks as measure of financial risk. An alternative measure referred to as expected shortfall was introduced in late 1990s to circumvent these drawbacks. Much theory have been developed since then. The developments have been most intensive in recent years.However, we are not aware of any comprehensive review of known estimation methods for expected shortfall. We feel it is timely that such a review is written. This paper (containing six sections and over 140 references) attempts that task with emphasis on recent developments. We expect this review to serve as a source of reference and encourage further research with respect to measures of financial risk.

Journal

Quantitative FinanceTaylor & Francis

Published: Feb 1, 2014

Keywords: Expected shortfall; Nonparametric methods; Parametric methods; Semiparametric methods; C1; C0

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