文章基本信息

标题：Estimation of Conditional Weighted Expected Shortfall under Adjusted Extreme Quantile Autoregression
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作者：Martin M. Kithinji ; Peter N. Mwita ; Ananda O. Kube 等
期刊名称：Journal of Mathematical Finance
印刷版ISSN：2162-2434
电子版ISSN：2162-2442
出版年度：2021
卷号：11
期号：3
页码：373-385
DOI：10.4236/jmf.2021.113021
语种：English
出版社：Scientific Research Publishing
摘要：In this paper, we present an estimator that improves the well-calibrated coherent risk measure: expected shortfall by restructuring its functional form to incorporate dynamic weights on extreme conditional quantiles used in its definition. Adjusted Extreme Quantile Autoregression will is used in estimating intermediary location measures. Consistency and coherence of the estimator are also proved. The resulting estimator was found to be less conservative compared to the expected shortfall.
关键词：Exreme Quantile Autoregression;Expected Shortfall;Value at Risk;Coherence;Risk Measurement