Asymptotic behavior of expected shortfall for portfolio loss under bivariate dependent structure

Shengxue Wei, Xiaoli Gan and Guodong Xing

Communications in Statistics - Theory and Methods, 2021, vol. 50, issue 1, 132-142

Abstract: Under the dependent structure of bivariate Eyraud-Farlie-Gumbel-Morgenstern copula, we present the asymptotics of expected shortfall for portfolio loss as the confidence level tends to one. Additionally, the corresponding asymptotics of spectral risk measure is also given. In order to illustrate the obtained main result, a numerical example and its relevant simulation are carried out.

Date: 2021
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DOI: 10.1080/03610926.2019.1630439

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