Estimation of Conditional Weighted Expected Shortfall under Adjusted Extreme Quantile Autoregression

Martin M. Kithinji; Peter N. Mwita; Ananda O. Kube

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Estimation of Conditional Weighted Expected Shortfall under Adjusted Extreme Quantile Autoregression

机译：调整后极值自动增加下的条件加权预期缺口的估算

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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 in its definition. Adjusted Extreme Quantile Autoregression will is used in estimating intermediary location measures. Consistency and coherence of the estimator are also proved. The resulting estimator was found to be less conservative compared to the expected shortfall.

机译：在本文中，我们提出了一种提高良好校准的相干风险措施的估算器：通过重组其功能形式来纳入其定义中使用的极端条件定量的动态权重的预期短缺。调整后的极端定量归档将用于估算中间位置测量。还证明了估算者的一致性和一致性。与预期的差额相比，发现所产生的估计剂减少保守。

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《Journal of Mathematical Finance》 |2021年第3期|共13页
作者
Martin M. Kithinji; Peter N. Mwita; Ananda O. Kube;
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Exreme Quantile AutoregressionExpected ShortfallValue at RiskCoherenceRisk Measurement;

机译：极端定量的自动出口预计风险施工率测量的短缺价值;

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1. Estimation of the expected shortfall given an extreme component under conditional extreme value model [J] . Kulik Rafal, Tong Zhigang Extremes . 2019,第1期

机译：在条件极值模型下给定极端分量的情况下预期短缺的估计
2. Weighted Nadaraya–Watson Estimation of Conditional Expected Shortfall [J] . Kengo Kato Journal of Financial Econometrics . 2012,第2期

机译：条件预期缺口的加权Nadaraya–Watson估计
3. NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY [J] . Martins-Filho Carlos, Yao Feng, Torero Maximo Econometric Theory . 2018,第1期

机译：基于极值理论的条件值 - 风险和预期缺陷的非参数估计
4. Robustness Analysis and Algorithm of Expected Shortfall Based on Extreme-Value Block Minimum Model [C] . Shide Ou, Danhui Yi The Second International Conference on Business Intelligence and Financial Engineering(BIFE 2009)（第二届商务智能与金融工程国际会议） . 2009

机译：基于极值块最小模型的预期不足的鲁棒性分析和算法
5. Estimation of portfolio Value -at -Risk and expected shortfall using copulas, extreme value theory, and doubly noncentral t distribution [D] . Zhong, Miao 2007

机译：使用copulas，极值理论和双重非中心t分布估算投资组合的风险价值和预期短缺
6. Adjusting for Conditional Bias in Process Model Simulations of Hydrological Extremes: An Experiment Using the North Wyke Farm Platform [O] . Stelian Curceac, Peter M. Atkinson, Alice Milne, 2020

机译：调整过程模型模拟水文极端的条件偏差：使用North Wyke Farm平台的实验
7. Adjusted Extreme Conditional Quantile Autoregression with Application to Risk Measurement [O] . Martin M. Kithinji, Peter N. Mwita, Ananda O. Kube 2021

机译：调整了极端条件的分位式自回归，应用于风险测量
8. Least Squares Estimation of Conditionally Heteroscedastic Autoregressions [R] . Nemec, A. F. L. 1984

机译：有条件异方差自回归的最小二乘估计

Estimation of Conditional Weighted Expected Shortfall under Adjusted Extreme Quantile Autoregression

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