A Fast, Accurate Method for Value-at-Risk and Expected Shortfall

A Fast, Accurate Method for Value-at-Risk and Expected Shortfall

A fast method is developed for value-at-risk and expected shortfall prediction for univariate asset return time series exhibiting leptokurtosis, asymmetry and conditional heteroskedasticity. It is based on a GARCH-type process driven by noncentral t innovations. While the method involves the use of several shortcuts for speed, it performs admirably in terms of accuracy and actually outperforms ...

Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk)

Expected Shortfall (ES) is the average return on a risky asset conditional on the return being below some quantile of its distribution, namely its Value-at-Risk (VaR). The Basel III Accord, which will be implemented in the years leading up to 2019, places new attention on ES, but unlike VaR, there is little existing work on modeling ES. We use recent results from statistical decision theory to ...

Expected Shortfall: a natural coherent alternative to Value at Risk

We discuss the coherence properties of Expected Shortfall (ES) as a financial risk measure. This statistic arises in a natural way from the estimation of the “average of the 100p% worst losses” in a sample of returns to a portfolio. Here p is some fixed confidence level. We also compare several alternative representations of ES which turn out to be more appropriate for certain purposes.

Expected Shortfall: a natural coherent alternative to Value at Risk

Estimating Value at Risk and Expected Shortfall Using Expectiles