Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall

@article{Scaillet2004NonparametricEA,
  title={Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall},
  author={O. Scaillet},
  journal={Capital Markets: Market Microstructure},
  year={2004}
}
  • O. Scaillet
  • Published 2004
  • Economics
  • Capital Markets: Market Microstructure
We consider a nonparametric method to estimate the expected shortfall—that is, the expected loss on a portfolio of financial assets knowing that the loss is larger than a given quantile. We derive the asymptotic properties of the kernel estimators of the expected shortfall and its first‐order derivative with respect to portfolio allocation in the context of a stationary process satisfying strong mixing conditions. An empirical illustration is given for a portfolio of stocks. Another empirical… Expand
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