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TERES - Tail Event Risk Expectile based Shortfall

Author

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  • Philipp Gschöpf
  • Wolfgang Karl Härdle
  • Andrija Mihoci

Abstract

A flexible framework for the analysis of tail events is proposed. The framework contains tail moment measures that allow for Expected Shortfall (ES) estimation. Connecting the implied tail thickness of a family of distributions with the quantile and expectile estimation, a platform for risk assessment is provided. ES and implications for tail events under different distributional scenarios are investigated, particularly we discuss the implications of increased tail risk for mixture distributions. Empirical results from the US, German and UK stock markets, as well as for the selected currencies indicate that ES can be successfully estimated on a daily basis using a one-year time horizon across different risk levels.

Suggested Citation

  • Philipp Gschöpf & Wolfgang Karl Härdle & Andrija Mihoci, 2015. "TERES - Tail Event Risk Expectile based Shortfall," SFB 649 Discussion Papers SFB649DP2015-047, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  • Handle: RePEc:hum:wpaper:sfb649dp2015-047
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    References listed on IDEAS

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    Cited by:

    1. Andrew J. Patton & Johanna F. Ziegel & Rui Chen, 2017. "Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk)," Papers 1707.05108, arXiv.org.

    More about this item

    Keywords

    Expected Shortfall; expectiles; tail risk; risk management; tail events; tail moments;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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