A note on calculating expected shortfall for discrete time stochastic volatility models

A note on calculating expected shortfall for discrete time stochastic volatility models

Abstract In this paper we consider the problem of estimating expected shortfall (ES) for discrete time stochastic volatility (SV) models. Specifically, we develop Monte Carlo methods to evaluate ES for a variety of commonly used SV models. This includes both models where the innovations are independ...

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Bibliographic Details
Main Authors: Michael Grabchak, Eliana Christou
Format: Article
Language:English
Published: SpringerOpen 2021-06-01
Series:Financial Innovation
Subjects:
Expected shortfall
Stochastic volatility
Value-at-risk
Online Access:https://doi.org/10.1186/s40854-021-00254-0

Internet

https://doi.org/10.1186/s40854-021-00254-0

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