Risk Measurement by G-Expected Shortfall

Ziting Pei, Xuhui Wang and Xingye Yue

Mathematical Problems in Engineering, 2021, vol. 2021, 1-13

Abstract:

G-expected shortfall (G-ES), which is a new type of worst-case expected shortfall (ES), is defined as measuring risk under infinite distributions induced by volatility uncertainty. Compared with extant notions of the worst-case ES, the G-ES can be computed using an explicit formula with low computational cost. We also conduct backtests for the G-ES. The empirical analysis demonstrates that the G-ES is a reliable risk measure.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:6611237

DOI: 10.1155/2021/6611237

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