Financial risk meter FRM based on expectiles

DOI10.1016/j.jmva.2021.104881zbMath1493.62322OpenAlexW3212525683MaRDI QIDQ2078547

Yingxing Li, Rui Ren, Meng-Jou Lu, Wolfgang Karl Härdle

Publication date: 1 March 2022

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2021.104881

zbMATH Keywords

network analysissystemic riskexpectilesCoEVaRexpectile Lasso regressionfinancial risk meter

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial networks (including contagion, systemic risk, regulation) (91G45)

Cites Work

• Asymmetric Least Squares Estimation and Testing
• An introduction to recent advances in high/infinite dimensional statistics
• TENET: tail-event driven network risk
• Assessing value at risk with CARE, the conditional autoregressive expectile models
• GACV for quantile smoothing splines
• Expectiles and \(M\)-quantiles are quantiles
• Recent advances in functional data analysis and high-dimensional statistics
• Tail event driven networks of SIFIs
• Coherent Measures of Risk
• The Econometrics of Networks
• Functional data analysis of generalized regression quantiles