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...

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Bibliographic Details
Main Author: Taylor, J
Format: Journal article
Published: 2008