Estimation of tail risk based on extreme expectiles

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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...

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Bibliographic Details
Main Authors:	Daouia, Abdelaati, Girard, Stéphane, Stupfler, Gilles
Format:	Article
Published:	Wiley 2017
Subjects:	Asymmetric squared loss; Coherency; Expectiles; Extrapolation; Extreme values; Heavy tails; Marginal expected shortfall; Value at Risk
Online Access:	https://eprints.nottingham.ac.uk/44962/

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