Estimation of tail risk based on extreme expectiles
We use tail expectiles to estimate alternative measures to the Value at Risk (VaR) and Marginal Expected Shortfall (MES), two instruments of risk protection of utmost importance in actuarial science and statistical _nance. The concept of expectiles is a least squares analogue of quantiles. Both are...
| Main Authors: | , , |
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| Format: | Article |
| Published: |
Wiley
2017
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/44962/ |