Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall

By Olivier Scaillet. 2004

268 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/5a2cf35cc24212c7c8b26cb86319478e5f5a84d5

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Citations in the corpus

Nonparametric Estimation of Copulas for Time Series (2002, methodology): “In fact ³̂j corresponds to a kernel estimate of the quantile of Yjt with probability level uj (see e.g. Gourieroux, Laurent and Scaillet (2000) and Scaillet (2000) for use of this type of smooth quantile estimates in risk management and portfolio selection as well as Azzalini (1981) for the…”
Estimation and Decomposition of Downside Risk for Portfolios with Non-Normal Returns (2008, background): “Scaillet (2002) proves that contribution to ES(fi) can be interpreted as the”
Nonparametric Inference of Value-at-Risk for Dependent Financial Returns (2005, methodology): “This kernel VaR estimator, first introduced by Gourieroux, Laurent, and Scaillet (2000) in the context of VaR estimation, can be viewed as a smoothed version of ̂p.”
Measuring Market Risk (2002, background): “(2000) also provide a more general approach to delVaR applicable for other parametric assumptions, and Scaillet (2000b) does the same for non-parametric ETL.”
Optimizing the CVaR via Sampling (2014, background): “Closely related to our work are the studies of Hong and Liu (2009) and Scaillet (2004), who proposed perturbation ar X iv :1 40 4.”
Nonparametric estimation of conditional VaR and expected shortfall (2008, background): “…(2004), Cai andXu (2008), Scaillet (2005) and Cosma et al. (2007) for conditionalmodels, andDuffie and Pan (1997), Artzner et al. (1999), Rockafellar and Uryasev (2000), Acerbi and Tasche (2002), Frey and McNeil (2002), Scaillet (2004), Chen and Tang (2005) and Chen (2006) for unconditional models.”
Robust Value at Risk Prediction (2007, background): “4See for instance Scaillet (2004) for nonparametric estimation of Expected Shortfall.”
Asset Allocation with Conditional Value-at-Risk Budgets (2013, unknown): “Scaillet (2002) shows that the contributions to CVaR correspond to the conditional expectation of the return of the portfolio component when the portfolio loss is larger than its VaR loss:”
Where the Risks Lie: A Survey on Systemic Risk (2017, unknown): “Then, the MES corresponds to the partial derivative of the system ES with respect to the weight of firm i in the economy (Scaillet, 2004): MESit Cð Þ ¼ @ESmt Cð Þ @wit ¼ Et!”
Asymmetric power distribution: Theory and applications to risk measurement (2007, background): “…work offers a variety of approaches to the expected shortfall estimation, ranging from fully parametric (see Aas and Haff, 2006), to semi-parametric (see McNeil and Frey, 2000; Bassett et al., 2004), and nonparametric (see Scaillet, 2004; Chen, 2005; Fermanian and Scaillet, 2005; Scaillet, 2005).”
A Theoretical and Empirical Comparison of Systemic Risk Measures (2013, background): “Formally, the conditional ES of the system is de(cid:133)ned as: 5 Then, the MES corresponds to the partial derivative of the system ES with respect to the weight of (cid:133)rm i in the economy (Scaillet, 2004).”
Shortfall as a risk measure: properties, optimization and applications (2004, methodology): “(c) (see also Scaillet, 2000).”