Adjusted empirical likelihood for value at risk and expected shortfall

DOI10.1080/03610926.2014.1002933zbMath1367.62287OpenAlexW2496161487MaRDI QIDQ2979015

Zhen Yan, Junjian Zhang

Publication date: 2 May 2017

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2014.1002933

zbMATH Keywords

confidence regioncoverage probabilityexpected shortfallvalue at riskadjusted empirical likelihood

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric estimation (62G05)

Related Items (3)

Asymptotic behavior of expected shortfall for portfolio loss under bivariate dependent structure ⋮ On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails ⋮ First and second order asymptotics of the spectral risk measure for portfolio loss under multivariate regular variation

Cites Work

• Bounds on coverage probabilities of the empirical likelihood ratio confidence regions.
• Nonparametric risk management and implied risk aversion
• Coherent Measures of Risk
• Semiparametric estimation of Value at Risk
• Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
• Application of Coherent Risk Measures to Capital Requirements in Insurance

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