Estimating Value at Risk and Expected Shortfall Using Expectiles
Expectile models are derived using asymmetric least squares. A simple formula relates the expectile to the expectation of exceedances beyond the expectile. We use this as the basis for estimating expected shortfall. It has been proposed that the quantile be estimated by the expectile for which the p...
Main Author: | |
---|---|
Format: | Journal article |
Published: |
2008
|