Expected shortfall for distributions in finance

Simon A. Broda and Marc S. Paolella
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Simon A. Broda: Amsterdam School of Economics, Department of Quantitative Economics
Marc S. Paolella: University of Zurich, Swiss Banking Institute

Chapter 2 in Statistical Tools for Finance and Insurance, 2011, pp 57-99 from Springer

Abstract: Abstract It has been nearly 50 years since the appearance of the pioneering paper of Mandelbrot (1963) on the non-Gaussianity of financial asset returns, and their highly fat-tailed nature is now one of the most prominent and accepted stylized facts. The recent book by Jondeau et al. (2007) is dedicated to the topic, while other chapters and books discussing the variety of non-Gaussian distributions of use in empirical finance include McDonald (1997), Knight and Satchell (2001), and Paolella (2007).

Keywords: Independent Component Analysis; Independent Component Analysis; Portfolio Weight; Saddlepoint Approximation; Expect Shortfall (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/978-3-642-18062-0_2

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