A note on calculating expected shortfall for discrete time stochastic volatility models

Michael Grabchak and Eliana Christou ()
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Michael Grabchak: University of North Carolina at Charlotte
Eliana Christou: University of North Carolina at Charlotte

Financial Innovation, 2021, vol. 7, issue 1, 1-16

Abstract: Abstract In this paper we consider the problem of estimating expected shortfall (ES) for discrete time stochastic volatility (SV) models. Specifically, we develop Monte Carlo methods to evaluate ES for a variety of commonly used SV models. This includes both models where the innovations are independent of the volatility and where there is dependence. This dependence aims to capture the well-known leverage effect. The performance of our Monte Carlo methods is analyzed through simulations and empirical analyses of four major US indices.

Keywords: Expected shortfall; Stochastic volatility; Value-at-risk (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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DOI: 10.1186/s40854-021-00254-0

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