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Econometric Modeling of Risk Measures: A Selective Review of the Recent Literature

Author

Listed:
  • Dingshi Tian

    (The Wang Yanan Institute for Studies in Economics, Xiamen University, Xiamen, China)

  • Zongwu Cai

    (Department of Economics, The University of Kansas)

  • Ying Fang

    (The Wang Yanan Institute for Studies in Economics, Xiamen University, Xiamen, China)

Abstract

Since the financial crisis in 2008, the risk measures which are the core of risk management, have received increasing attention among economists and practitioners. In this review, the concentrate is on recent developments in the estimation of the most popular risk measures, namely, value at risk (VaR), expected shortfall (ES), and expectile. After introducing the concept of risk measures, the focus is on discussion and comparison of their econometric modeling. Then, parametric and nonparametric estimations of tail dependence are investigated. Finally, we conclude with insights into future research directions.

Suggested Citation

  • Dingshi Tian & Zongwu Cai & Ying Fang, 2018. "Econometric Modeling of Risk Measures: A Selective Review of the Recent Literature," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201807, University of Kansas, Department of Economics, revised Oct 2018.
  • Handle: RePEc:kan:wpaper:201807
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    File URL: http://www2.ku.edu/~kuwpaper/2018Papers/201807.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    Expectile; Expected Shortfall; Network; Nonparametric Estimation; Tail Dependence; Value at Risk.;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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