Calculation of expected shortfall for measuring risk and its applications[J] 2005,Journal of Shanghai University (English Edition)(1):90～94阎春宁,余鹏,黄养新.  Calculation of Expected Shortfall for Measuring Risk and Its Applications[J]. Journal of Shanghai University. 2005(01)YAN, C., ...
Expected Shortfall, as a coherent risk measure, has received a substantial amount of attention in the literature recently. For many distributions of practical interest however, it cannot be obtained in explicit form, and numerical techniques must be employed. The present manuscript derives a saddlepoin...
In the framework of a standard structural credit portfolio model, we inves-tigate the Monte Carlo based estimation of capital allocation according to ex-pected shortfall. We develop and analyze several variance reduction techniques based on importance sampling, analytic approximations of portfolio loss ...
@everetra - That’s good to know, however I think you’re missing something. Expected monetary value uses probability and in your example there is no probability. You don’t know the likelihood that a stock will swing up or down. I think a better expected monetary example is the online ...
Calculation of expected shortfall for measuring risk and its applications[J] 2005,Journal of Shanghai University (English Edition)(1):90～94阎春宁,余鹏,黄养新.  Calculation of Expected Shortfall for Measuring Risk and Its Applications[J]. Journal of Shanghai University. 2005(01)YAN, C., ...
Findings - The presence of autocorrelation changes the values of most of the correlation parameters used in the calculation of the Expected Shortfall (ES) of the Risk Bearing Capital - in some cases the cross-asset correlation parameters double. Once the presence of smoothing is accounted for, ...
risks Article On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles James Ming Chen 1,2 ID 1 College of Law, Michigan State University, 648 North Shaw Lane, East Lansing, MI 48824-1300, USA; chenjame@law.msu.edu 2 Visiting Scholar, School of Economics ...
However, the calculation of risk measurements based on expected risk models can be unstable when the data shows high variability. The integration of classical credibility theory into the expected risk models, as proposed in this study, is designed to mitigate the instability often observed in high-...
Expectiles may address some of the flaws in VaR and expected shortfall—subject to the reservation that no risk measure can achieve exactitude in regulation. Keywords: expectiles; risk measures; expected shortfall; value-at-risk; VaR; Basel accords; elicitability; coherence; backtesting; robustness...
For its risk calculation we develop numerical approaches to determine the value and the optimal solution of these risk measures. The benefits of fast algorithms is for example, pointed out in (Björk and Slinko 2006, Section 5): “[...] the problem of numerically determining good-deal ...