Estimating Value at Risk and Expected Shortfall Using Expectiles

@article{Taylor2007EstimatingVA,
  title={Estimating Value at Risk and Expected Shortfall Using Expectiles},
  author={J. W. Taylor},
  journal={Journal of Financial Econometrics},
  year={2007},
  volume={6},
  pages={231-252}
}
  • J. W. Taylor
  • Published 2007
  • Economics
  • Journal of Financial Econometrics
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 θ quantile be estimated by the expectile for which the proportion of observations below the expectile is θ. In this way, an expectile can be used to estimate value at risk. Using expectiles has the appeal of avoiding… Expand
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