Semiparametric estimation of dynamic conditional expected shortfall models

Juan Carlos Escanciano and Silvia Mayoral

International Journal of Monetary Economics and Finance, 2008, vol. 1, issue 2, 106-120

Abstract: The paper proposes a simple estimator for a class of Conditional Expected Shortfall risk measures. The estimator is semiparametric, in the sense that it does not require a full specification of the conditional distribution of the data, and it is very simple to compute, being a least squares estimator with a closed form expression. We establish its consistency and asymptotic normality under mild regularity conditions. A simulation study provides evidence of the excellent finite-sample properties of the estimator and an application to some exchange rates highlights the semiparametric aspect of the new estimator.

Keywords: conditional value at risk; CVaR; Tail VaR; coherent risk measures; tail risk; market risk; conditional distribution; semiparametric estimation; conditional expected shortfall models. (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijmefi:v:1:y:2008:i:2:p:106-120

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