Econometric Modeling of Risk Measures: A Selective Review of the Recent Literature

Dingshi Tian, Zongwu Cai and Ying Fang
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Dingshi Tian: The Wang Yanan Institute for Studies in Economics, Xiamen University, Xiamen, China
Zongwu Cai: Department of Economics, The University of Kansas
Ying Fang: The Wang Yanan Institute for Studies in Economics, Xiamen University, Xiamen, China

No 201807, WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS from University of Kansas, Department of Economics

Abstract: Since the financial crisis in 2008, the risk measures which are the core of risk management, have received increasing attention among economists and practitioners. In this review, the concentrate is on recent developments in the estimation of the most popular risk measures, namely, value at risk (VaR), expected shortfall (ES), and expectile. After introducing the concept of risk measures, the focus is on discussion and comparison of their econometric modeling. Then, parametric and nonparametric estimations of tail dependence are investigated. Finally, we conclude with insights into future research directions.

Keywords: Expectile; Expected Shortfall; Network; Nonparametric Estimation; Tail Dependence; Value at Risk. (search for similar items in EconPapers)
JEL-codes: C14 C58 (search for similar items in EconPapers)
Date: 2018-10, Revised 2018-10
New Economics Papers: this item is included in nep-ecm and nep-rmg
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