Post by Sapphire Capital on Aug 19, 2008 2:02:46 GMT 4
Estimating Value at Risk and Expected Shortfall Using Expectiles
James W. Taylor
affiliation not provided to SSRN
Journal of Financial Econometrics, Vol. 6, Issue 2, pp. 231-252, 2008
Abstract:
Expectile models are derived using asymmetric least squares. A simple formula has been presented that relates the expectile to the expectation of exceedances beyond the expectile. We use this as the basis for estimating the expected shortfall. It has been proposed that the quantile be estimated by the expectile for which the proportion of observations below the expectile is. In this way, an expectile can be used to estimate value at risk. Using expectiles has the appeal of avoiding distributional assumptions. For univariate modeling, we introduce conditional autoregressive expectiles (CARE). Empirical results for the new approach are competitive with established benchmarks methods.
papers.ssrn.com/sol3/papers.cfm?abstract_id=1157742
James W. Taylor
affiliation not provided to SSRN
Journal of Financial Econometrics, Vol. 6, Issue 2, pp. 231-252, 2008
Abstract:
Expectile models are derived using asymmetric least squares. A simple formula has been presented that relates the expectile to the expectation of exceedances beyond the expectile. We use this as the basis for estimating the expected shortfall. It has been proposed that the quantile be estimated by the expectile for which the proportion of observations below the expectile is. In this way, an expectile can be used to estimate value at risk. Using expectiles has the appeal of avoiding distributional assumptions. For univariate modeling, we introduce conditional autoregressive expectiles (CARE). Empirical results for the new approach are competitive with established benchmarks methods.
papers.ssrn.com/sol3/papers.cfm?abstract_id=1157742