On estimating the conditional expected shortfall

Authors:
Franco Peracchi;Andrei V. Tanase
Affiliations:
Tor Vergata University, Rome, Italy and EIEF, Rome, Italy;Tor Vergata University, Rome, Italy
Venue:
Applied Stochastic Models in Business and Industry - Special issue on statistical methods in performance analysis
Year:
2008

Citing 0
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Asymptotically efficient estimation of the conditional expected shortfall

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Abstract

Unlike the value at risk, the expected shortfall is a coherent measure of risk. In this paper, we discuss estimation of the expected shortfall of a random variable Yt with special reference to the case when auxiliary information is available in the form of a set of predictors Xt. We consider three classes of estimators of the conditional expected shortfall of Yt given Xt: a class of fully non-parametric estimators and two classes of analog estimators based, respectively, on the empirical conditional quantile function and the empirical conditional distribution function. We study their sampling properties by means of a set of Monte Carlo experiments and analyze their performance in an empirical application to financial data. Copyright © 2008 John Wiley & Sons, Ltd.