Single-Index Expectile Models for Estimating Conditional Value at Risk and Expected Shortfall*

Coherent Measures of Risk

Rong Jiang, Xueping Hu and Keming Yu

Journal of Financial Econometrics, 2022, vol. 20, issue 2, 345-366

Abstract: This article develops a single-index approach for modeling the expectile-based value at risk (EVaR). EVaR has an advantage over the conventional quantile-based VaR (QVaR) of being more sensitive to the magnitude of extreme losses. EVaR can also be used for calculating QVaR and expected shortfall (ES) by exploiting the one-to-one mapping from expectiles to quantiles and the relationship between VaR and ES. We develop an asymmetric least squares technique for estimating the unknown regression parameter and link function in a single-index model, and establish the asymptotic normality of the resultant estimators. Simulation studies and real data applications are conducted to illustrate the finite sample performance of the proposed methods.

Keywords: single-index model; expectile regression; value at risk (search for similar items in EconPapers)
JEL-codes: C13 C14 C22 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (5)

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