Nonparametric Estimation of Expected Shortfall

@article{Chen2007NonparametricEO,
  title={Nonparametric Estimation of Expected Shortfall},
  author={S. Chen},
  journal={Journal of Financial Econometrics},
  year={2007},
  volume={6},
  pages={87-107}
}
  • S. Chen
  • Published 2007
  • Mathematics
  • Journal of Financial Econometrics
The expected shortfall is an increasingly popular risk measure in financial risk management and it possesses the desired sub-additivity property, which is lacking for the value at risk (VaR). We consider two nonparametric expected shortfall estimators for dependent financial losses. One is a sample average of excessive losses larger than a VaR. The other is a kernel smoothed version of the first estimator (Scaillet, 2004 Mathematical Finance), hoping that more accurate estimation can be… Expand
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