Technical paper/Expected shortfall
The utility of Basel III rules on excessive violations of internal risk models
In this paper, the author looks at the efficacy of risk measures on energy markets and across several different stock market indexes, and calculates both the value-at-risk (VaR) and the expected shortfall (ES) on each of these data sets as well as on…
Counterparty trading limits revisited: from PFE to PFL
The potential future loss is proposed as a replacement for PFE
Back to backtesting: integrated backtesting for value-at-risk and expected shortfall in practice
This paper aims to reflect the current state of the discussion on the validation of market risk forecasts by means of backtesting.
New backtests for unconditional coverage of expected shortfall
In this paper, the authors present a new backtest for the unconditional coverage property of expected shortfall.
Estimation window strategies for value-at-risk and expected shortfall forecasting
This paper analyzes the impact of different estimation window strategies, including structural breaks and forecast combinations, on forecasting common risk measures such as VaR and ES.
Modeling very large losses
In this paper, the author presents a simple probabilistic model for aggregating very large losses into a loss collection.
Rogue traders versus value-at-risk and expected shortfall
VAR and ES are ineffective to deter rogue trading
Estimation risk for value-at-risk and expected shortfall
This paper provides a detailed analysis of the relationship between approximate VaR (ES) and exact VaR (ES) by finding a linear regression model in which the response variable is the approximate VaR (ES) and the explanatory variable is the exact VaR (ES)…
Inefficiency and bias of modified value-at-risk and expected shortfall
This paper compares mVaR and mES estimators with VaR and ES under normal and fat tailed t-distributions.
A note on the statistical robustness of risk measures
This paper focuses on the parametric estimators of risk measures and uses Hampel’s infinitesimal approach to derive the robustness properties.
Finite difference methods for estimating marginal risk contributions in asset management
This paper studies the use of finite difference methods for estimating risk contributions.
Extended saddlepoint methods for credit risk measurement
This paper reviews and extends the saddlepoint methods currently available to measure credit risk.
Two sides of the same coin: risk measures in the energy markets
This paper investigates whether there are existing common model features that yield consistently superior results under both VaR and ES risk metrics in the energy commodities markets.
Expected shortfall and VAR: cracking the marginal allocations
A new method to estimate marginal VAR and marginal ES is presented
Fitting a distribution to value-at-risk and expected shortfall, with an application to covered bonds
This paper suggests simple and intuitive models for covered bonds that allow quantitative assessment of expected loss and the impact of asset encumbrance.
On optimal smoothing of density estimators obtained from orthogonal polynomial expansion methods
This paper discusses the application of orthogonal polynomials to the estimation of probability density functions.
Expected shortfall is jointly elicitable with value-at-risk: implications for backtesting
Fissler, Ziegel and Gneiting investigate the role of elicitability in backtesting problems and show how comparative backtests can be implemented for expected shortfall
Downside risk measure performance in the presence of breaks in volatility
This paper proposes a loss function-based framework for the comparative measurement of the sensitivity of quantile downside risk measures to breaks in volatility or distribution.
Risk model validation for BRICS countries: a value-at-risk, expected shortfall and extreme value theory approach
The authors of this paper employ value-at-risk (VaR) and expected shortfall (ES) as risk measures to assess the competency of several volatility models, based on the stock indexes of the BRICS countries (Brazil, Russia, India, China and South Africa)…
Advanced risk profile analysis of Islamic equity investment: evidence from the American, Asian and European markets
This paper investigates three Islamic equity indexes, classified by economic hubs (Dow Jones Europe, Asia/Pacific and United States), against their conventional peers from 2003 to 2009.
Improved estimation methods for value-at-risk, expected shortfall and risk contributions with high precision
This paper proposes a technique based on the saddlepoint approximation to quickly and accurately estimate common portfolio risk measures and their associated marginal component contributions.
Back-testing expected shortfall
Three easy-to-implement methods for back-testing expected shortfall
Expectiles behave as expected
Expectiles' results are analogous to those of value-at-risk and expected shortfall