Cover Image

Optimal nonparametric estimation of the expected shortfall risk

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Bartl, Daniel, Eckstein, Stephan
Format:	Preprint
Published:	2024
Subjects:	Risk Management Probability Statistics Theory Mathematical Finance
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Arbitrage-free catastrophe reinsurance valuation for compound dynamic contagion claims
by: Jang, Jiwook, et al.
Published: (2025)

Generalized Orlicz premia
by: Aygün, Mücahit, et al.
Published: (2025)

A nonparametric test for rough volatility
by: Chong, Carsten H., et al.
Published: (2024)

Extending the application of dynamic Bayesian networks in calculating market risk: Standard and stressed expected shortfall
by: Gross, Eden, et al.
Published: (2025)

Robust quasi-convex risk measures and applications
by: Centrone, Francesca, et al.
Published: (2026)

Cash-subadditive risk measures without quasi-convexity
by: Han, Xia, et al.
Published: (2021)

The randomly distorted Choquet integrals with respect to a G-randomly distorted capacity and risk measures
by: Aldalbahi, Ohood, et al.
Published: (2025)

Static marginal expected shortfall: Systemic risk measurement under dependence uncertainty
by: Chen, Jinghui, et al.
Published: (2025)

Lambda Expected Shortfall
by: Bellini, Fabio, et al.
Published: (2025)

Ranking Metrics: Extending Acceptability and Performance Indexes
by: Hitaj, Asmerilda, et al.
Published: (2026)

Particle Systems with Local Interactions via Hitting Times and Cascades on Graphs
by: Guo, Yucheng, et al.
Published: (2025)

Regime Discovery and Intra-Regime Return Dynamics in Global Equity Markets
by: Luwang, Salam Rabindrajit, et al.
Published: (2026)

Model-free Analysis of Dynamic Trading Strategies
by: Ananova, Anna, et al.
Published: (2020)

Endogenous distress contagion in a dynamic interbank model: how possible future losses may spell doom today
by: Feinstein, Zachary, et al.
Published: (2022)

The Elasticity of Quantitative Investment
by: Davis, Carter
Published: (2023)

Data-Driven Risk Measurement by SV-GARCH-EVT Model
by: Xiao, Minheng
Published: (2022)

Extreme Value Analysis for Finite, Multivariate and Correlated Systems with Finance as an Example
by: Köhler, Benjamin, et al.
Published: (2026)

Three-level qualitative classification of financial risks under varying conditions through first passage times
by: Bouthelier-Madre, Carlos, et al.
Published: (2025)

Levy-stable scaling of risk and performance functionals
by: Vlasiuk, Dmitrii
Published: (2025)

Kullback-Leibler Barycentre of Stochastic Processes
by: Jaimungal, Sebastian, et al.
Published: (2024)

Convolution Bounds on Quantile Aggregation
by: Blanchet, Jose, et al.
Published: (2020)

Robust Hedging of path-dependent options using a min-max algorithm
by: Banerjee, Purba, et al.
Published: (2025)

Optimal mutual insurance against systematic longevity risk
by: Armstrong, John, et al.
Published: (2024)

Formation of Optimal Interbank Networks under Liquidity Shocks
by: Rigobon, Daniel E., et al.
Published: (2022)

Multidimensional indefinite stochastic Riccati equations and zero-sum stochastic linear-quadratic differential games with non-Markovian regime switching
by: Zhang, Panpan, et al.
Published: (2023)

Holdout cross-validation for large non-Gaussian covariance matrix estimation using Weingarten calculus
by: Lamrani, Lamia, et al.
Published: (2025)

Set risk measures
by: Righi, Marcelo, et al.
Published: (2024)

Constructing elicitable risk measures
by: Ince, Akif, et al.
Published: (2025)

Monotonic mean-deviation risk measures
by: Han, Xia, et al.
Published: (2023)

Enhancing a Risk Model by Adding Transient Statistical Factors
by: Tzikas, Alexandros E., et al.
Published: (2026)

A note on robust convex risk measures
by: Righi, Marcelo, et al.
Published: (2024)

The role of debt valuation factors in systemic risk assessment
by: Fortuna, Kamil, et al.
Published: (2024)

Wishart conditional tail risk measures: An analytic approach
by: Da Fonseca, Jose, et al.
Published: (2026)

When risk defies order: On the limits of fractional stochastic dominance
by: Laudagé, Christian, et al.
Published: (2025)

Modeling dependency between operational risk losses and macroeconomic variables using Hidden Markov Models
by: Selvaratnam, Nikeethan, et al.
Published: (2026)

Optimal Reinsurance under Endogenous Default and Background Risk
by: Liang, Zongxia, et al.
Published: (2025)

If Not Now, Then When? Model Risk in the Optimal Exercise of American Options
by: Rigby, Luna, et al.
Published: (2026)

The not-so-hidden risks of 'hidden-to-maturity' accounting: on depositor runs and bank resilience
by: Feinstein, Zachary, et al.
Published: (2024)

Semi-Static Variance-Optimal Hedging of Covariance Risk in Multi-Asset Derivatives
by: Chatziandreou, Konstantinos, et al.
Published: (2026)

Using quantile time series and historical simulation to forecast financial risk multiple steps ahead
by: Gerlach, Richard, et al.
Published: (2025)