TERES: Tail Event Risk Expectile Shortfall

DOI10.1080/14697688.2020.1786151zbMath1466.91373OpenAlexW2282862991MaRDI QIDQ4991087

Andrija Mihoci, Cathy Yi-Hsuan Chen, Wolfgang Karl Härdle

Publication date: 2 June 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/skbi/8

zbMATH Keywords

risk managementexpected shortfallvalue at riskexpectilestail risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Statistics of extreme values; tail inference (62G32)

Uses Software

• QRM

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Expectiles and \(M\)-quantiles are quantiles
• Generalized autoregressive conditional heteroscedasticity
• Coherent Measures of Risk
• COHERENCE AND ELICITABILITY
• Statistical Tools for Finance and Insurance
• Robustness and sensitivity analysis of risk measurement procedures
• M-quantiles
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Expectile and quantile regression—David and Goliath?
• Regulatory arbitrage of risk measures
• Statistics of Financial Markets
• Coherent measures of risk in everyday market practice†
• Robust Estimation of a Location Parameter
• Maximum-likelihood estimation for the mixed analysis of variance model

This page was built for publication: TERES: Tail Event Risk Expectile Shortfall