Webof the tail empirical expectile process. First, Theorem 1 in Daouia et al. [15] derives an ex-plicit joint asymptotic Gaussian representation of the tail expectile and quantile processes. Second, Theorem 2 in Daouia et al. [15] unravels the discrepancy between the tail empirical expectile process and its population counterpart. Web1 Jan 2024 · In this paper, we work in a context of heavy tails, and we construct composite bias-reduced estimators of extreme quantiles and expectiles based on Lp-quantiles. We provide a discussion of the...
Tail expectile process and risk assessment - Semantic …
Web10 Nov 2024 · Expectiles and quantiles can both be defined as the solution of minimization problems. Contrary to quantiles though, expectiles are determined by tail expectations rather than tail probabilities, and define a coherent risk measure. Web22 Feb 2016 · Estimation of tail risk based on extreme expectiles. We use tail expectiles to estimate alternative measures to the value at risk and marginal expected shortfall, which … hobby lobby christmas boxes
Tail expectile process and risk assessment TSE
WebBased on this closed form of the worst-case TVaR-based expectile, the distributionally robust portfolio selection problem is reduced to a convex quadratic program. Numerical results are also presented to illustrate the performance of the new risk measure compared with classic risk measures, such as tail value-at-risk-based expectiles. Full article Web31 Jul 2024 · Tail expectile process and risk assessment Abdelaati Daouia Stéphane Girard Gilles Stupfler 31 July 2024 TSE Working Paper Abstract Expectiles define a least squares analogue of quantiles. They are determined by tail expectations rather than tail probabilities. WebTail expectile process and risk assessment. Bernoulli 26 531–556. Digital Object Identifier: 10.3150/19-BEJ1137 Google Scholar: Lookup Link MathSciNet: MR4036043 de Haan, L. and Ferreira, A. (2006). Extreme Value Theory: An Introduction. Springer Series in Operations Research and Financial Engineering. New York: Springer. hsbc purpose and values