Nonparametric estimation of conditional VaR and expected shortfall

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NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY (2016, methodology): “Conditional Value-at-Risk (CVaR) and conditional Expected Shortfall (CES) are two of the most used synthetic measures of market risk (McNeil and Frey (2000), Duffie and Singleton (2003), Engle and Manganelli (2004), Cai and Wang (2008)).”
Frontiers in VaR forecasting and backtesting (2016, methodology): “This procedure is adapted from the double kernel estimator of Yu and Jones (1998) which is also considered by Cai and Wang (2008).”
Local quantile regression (2010, methodology): “In financial risk management, the proper definition of quantile based Value at Risk impacts asset pricing, portfolio hedging and investment evaluation, Engle and Manganelli (2004), Cai and Wang (2008) and Fitzenberger and Wilke (2006). In labor market analysis of wage distributions, education effect”
Measuring and testing for the systemically important financial institutions (2012, unknown): “̂ ∆CoV aR index|i (τ) = Q̂Xindex|Xi(τ)− Q̂Xindex(τ) = F̂−1 Xindex|Xi(τ)− F̂ −1 Xindex (τ), (10)”