TERES: Tail event risk expectile based shortfall

Philipp Gschöpf, Wolfgang Härdle and Andrija Mihoci
Authors registered in the RePEc Author Service: Philipp Gschoepf

No 2015-047, SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

Abstract: 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.

Keywords: expected shortfall; expectiles; tail risk; risk management; tail events; tail moments (search for similar items in EconPapers)
JEL-codes: C13 C16 G20 G28 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb649:sfb649dp2015-047

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