Uncertainty Comparison Between Value-at-Risk and Expected Shortfall

DOI10.4208/cmr.2022-0071OpenAlexW4388769638MaRDI QIDQ6122965

Wei-min Liu, Unnamed Author, Gengsheng Qin, Liang Peng

Publication date: 4 March 2024

Published in: Communications in Mathematical Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/cmr.2022-0071

zbMATH Keywords

asymptotic variancevalue-at-risk\(\alpha\)-mixingexpected shortfall

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Making and Evaluating Point Forecasts
• Higher order elicitability and Osband's principle
• Comparative and qualitative robustness for law-invariant risk measures
• When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management
• A nonparametric approach to calculating value-at-risk
• Robustness and sensitivity analysis of risk measurement procedures
• Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
• NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY
• Nonparametric estimation of value-at-risk
• External Risk Measures and Basel Accords
• Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory

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