On estimating the conditional expected shortfall

@inproceedings{Peracchi2008OnET,
  title={On estimating the conditional expected shortfall},
  author={Franco Peracchi and Andrei V. Tanase},
  year={2008}
}
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… CONTINUE READING

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