Conditional VAR and Expected Shortfall: A New Functional Approach

Frédéric Ferraty and Alejandro Quintela-Del-Río

Econometric Reviews, 2016, vol. 35, issue 2, 263-292

Abstract: We estimate two well-known risk measures, the value-at-risk (VAR) and the expected shortfall, conditionally to a functional variable (i.e., a random variable valued in some semi(pseudo)-metric space). We use nonparametric kernel estimation for constructing estimators of these quantities, under general dependence conditions. Theoretical properties are stated whereas practical aspects are illustrated on simulated data: nonlinear functional and GARCH(1,1) models. Some ideas on bandwidth selection using bootstrap are introduced. Finally, an empirical example is given through data of the S&P 500 time series.

Date: 2016
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Citations: View citations in EconPapers (10)

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DOI: 10.1080/07474938.2013.807107

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