Estimating value at risk and expected shortfall using expectiles.
Expectile models are derived using asymmetric least squares. A simple formula has been presented that relates the expectile to the expectation of exceedances beyond the expectile. We use this as the basis for estimating the expected shortfall. It has been proposed that the θ¸ quantile be estimated b...
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| Format: | Journal article |
| Language: | English |
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Oxford University Press
2008
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