TERES - Tail Event Risk Expectile based Shortfall

  • A flexible framework for the analysis of tail events is proposed. The framework contains tail moment measures that allow for Expected Shortfall (ES) estimation. Connecting the implied tail thickness of a family of distributions with the quantile and expectile estimation, a platform for risk assessment is provided. ES and implications for tail events under different distributional scenarios are investigated, particularly we discuss the implications of increased tail risk for mixture distributions. Empirical results from the US, German and UK stock markets, as well as for the selected currencies indicate that ES can be successfully estimated on a daily basis using a one-year time horizon across different risk levels.

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Metadaten
Author: Philipp Gschöpf, Wolfgang Karl Härdle, Andrija Mihoci
URL:https://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2015-047.pdf
Publisher:SFB 649
Place of publication:Berlin
Document Type:Report
Language:English
Year of publication:2015
Tag:Expected Shortfall; Expectiles; Risk Management; Tail Events; Tail Moments; Tail Risk
Number of pages:26
Series ; volume number:SFB 649 Discussion Paper ; 2015,047
Faculty/Chair:Fakultät 5 Wirtschaft, Recht und Gesellschaft / FG Wirtschaftsstatistik und Ökonometrie
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