Browsing Research and Publications by Subject "Expected Shortfall"

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Estimation of Conditional Weighted Expected Shortfall under Adjusted Extreme Quantile Autoregression

Kithinji, Martin M.; Mwita, Peter N.; Kube, Ananda O. (Scientific Research Publishing Inc., 2021-07-14)

In this paper, we present an estimator that improves the well-calibrated coherent risk measure: expected shortfall by restructuring its functional form to incorporate dynamic weights on extreme conditional quantiles used ...
Nonparametric Prediction Interval for Conditional Expected Shortfall Admitting a Location-Scale Model using Bootstrap Method

Torsen, Emmanuel; Mwita, Peter N.; Mung’atu, Joseph K. (MksU Press, 2021-06)

In financial risk management, the expected shortfall is a popular risk measure which is often considered as an alternative to Value-at-Risk. It is defined as the conditional expected loss given that the loss is greater ...