TERES: Tail Event Risk Expectile Shortfall

• Main Authors: MIHOCI, Andrija, HARDLE, Wolfgang Karl, CHEN, Cathy Yi-Hsuan
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2020
• Subjects: Expected Shortfall; expectiles; tail risk; risk management; tail events; tail moments; Finance; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/skbi/8; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1007&context=skbi
• Institution: Singapore Management University

We propose a generalized risk measure for expectile-based expected shortfall estimation. The generalization is designed with a mixture of Gaussian and Laplace densities. Our plug-in estimator is derived from an analytic relationship between expectiles and expected shortfall. We investigate the sensi...