Post by Sapphire Capital on Jul 11, 2008 21:48:16 GMT 4
On Estimating the Conditional Expected Shortfall
FRANCO PERACCHI
University of Rome II - Centre for International Studies on Economic Growth (CEIS)
ANDREI VALENTIN TANASE
Tor Vergata University, Rome
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CEIS Working Paper No. 122
Abstract:
Unlike the value at risk, the expected shortfall is a coherent measure of risk. In this paper, we discuss estimation of the expected shortfall of a random variable Yt with special reference to the case when auxiliary information is available in the form of a set of predictors Xt. We consider three classes of estimators of the conditional expected shortfall of Yt given Xt: a class of fully non-parametric estimators and two classes of analog estimators based, respectively, on the empirical conditional quantile function and the empirical conditional distribution function.
We study their sampling properties by means of a set of Monte Carlo experiments and analyze their performance in an empirical application to financial data.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1117909_code728214.pdf?abstractid=1117909&mirid=4
FRANCO PERACCHI
University of Rome II - Centre for International Studies on Economic Growth (CEIS)
ANDREI VALENTIN TANASE
Tor Vergata University, Rome
--------------------------------------------------------------------------------
CEIS Working Paper No. 122
Abstract:
Unlike the value at risk, the expected shortfall is a coherent measure of risk. In this paper, we discuss estimation of the expected shortfall of a random variable Yt with special reference to the case when auxiliary information is available in the form of a set of predictors Xt. We consider three classes of estimators of the conditional expected shortfall of Yt given Xt: a class of fully non-parametric estimators and two classes of analog estimators based, respectively, on the empirical conditional quantile function and the empirical conditional distribution function.
We study their sampling properties by means of a set of Monte Carlo experiments and analyze their performance in an empirical application to financial data.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1117909_code728214.pdf?abstractid=1117909&mirid=4