On estimating the conditional expected shortfall

Franco Peracchi and Andrei V. Tanase
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Andrei V. Tanase: Faculty of Economics, University of Rome "Tor Vergata", http://www.ceistorvergata.it

No 122, CEIS Research Paper from Tor Vergata University, CEIS

Abstract: Unlike the value at risk, the expected shortfall is a coherent measure of risk. In this paper, we discuss estimation of the expected shortfall of a random variable Yt with special reference to the case when auxiliary information is available in the form of a set of predictors Xt. We consider three classes of estimators of the conditional expected shortfall of Yt given Xt: a class of fully non-parametric estimators and two classes of analog estimators based, respectively, on the empirical conditional quantile function and the empirical conditional distribution function. We study their sampling properties by means of a set of Monte Carlo experiments and analyze their performance in an empirical application to financial data.

Keywords: risk measures; quantile regression; logistic regression (search for similar items in EconPapers)
JEL-codes: C13 E44 G11 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2008-07-14, Revised 2008-07-14
New Economics Papers: this item is included in nep-ecm and nep-rmg
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Citations: View citations in EconPapers (11)

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Journal Article: On estimating the conditional expected shortfall (2008)
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