Advances in expected shortfall estimation
An expectile based approach
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A broad introduction to expected shortfall and related methodologies as well as risk measures in general is given. The focus of this book is to analyze the usage of new methods to estimate expected shortfall. A connection between asymmetric regression (expectiles) and financial risk is at the heart of a growing body of research in this direction. Other approaches considered in detail are extreme value theory and historical estimation. The methodologies covered here are readily implemented and available at quantlet.de. The aim is to equip the industry participant with new tools from a rapidly a...
A broad introduction to expected shortfall and related methodologies as well as risk measures in general is given. The focus of this book is to analyze the usage of new methods to estimate expected shortfall. A connection between asymmetric regression (expectiles) and financial risk is at the heart of a growing body of research in this direction. Other approaches considered in detail are extreme value theory and historical estimation. The methodologies covered here are readily implemented and available at quantlet.de. The aim is to equip the industry participant with new tools from a rapidly advancing field of research while providing the academician a handbook covering a diverse range of topics concerning risk measures.
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