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Tail expectile process and risk assessment

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...

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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 https://shopbamboopanda.com

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

Nonparametric estimation of expectile regression in functional ...

Category:Extreme expectile estimation for heavy-tailed time series

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Tail expectile process and risk assessment

(PDF) Tail expectile process and risk assessment

WebIf we are concerned with discrete risk phenomena such as counts of natural disasters, counts of infections by a serious disease, or counts of certain economic events, then the required risk forecasts are to be computed for an underlying count process. Web1 Mar 2024 · The novel expectile-based risk measures satisfy all coherence requirements. We revisit their extreme value estimation for heavy-tailed distributions. First, we estimate …

Tail expectile process and risk assessment

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WebAbdelaati Daouia, Stéphane Girard et Gilles Stupfler, « Tail expectile process and risk assessment », TSE Working Paper, n° 18-944, août 2024.

WebGARCH-UGH: A bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series Papers, arXiv.org ; 2024. ExpectHill estimation, extreme risk and heavy tails TSE Working Papers, Toulouse School of Economics (TSE) See also Journal Article in Journal of Econometrics (2024) Tail expectile process and risk assessment WebThe main purpose of the present paper is to investigate the problem of the nonparametric estimation of the expectile regression in which the response variable is scalar while the covariate is a random function. More precisely, an estimator is constructed by using the k Nearest Neighbor procedures ( k NN). The main contribution of this study is the …

Web\Tail expectile process and risk assessment" Abdelaati Daouiaa, St ephane Girardb and Gilles Stup erc a Toulouse School of Economics, University of Toulouse Capitole, France … Web1 Mar 2024 · Expectiles are determined by tail expectations rather than tail probabilities, which allows for more prudent and reactive risk management. Altering the shape of …

Web31 Jul 2024 · This makes the study of the tail expectile process a lot harder than that of the standard tail quantile process. Under the challenging model of heavy-tailed distributions, …

WebSupplementary Material for “ Tail expectile process and risk assessment ” Abdelaati Daouia a , St´ ephane Girard b and Gilles Stupfler c a Toulouse School of Economics, University of Toulouse Capitole, France b Universit´ e Grenoble Alpes, INRIA, CNRS, Grenoble INP, LJK, France c School of Mathematical Sciences, University of Nottingham, Nottingham NG7 … hsbc purposeWeb1 Mar 2024 · The novel expectile-based risk measures satisfy all coherence requirements. We revisit their extreme value estimation for heavy-tailed distributions. First, we estimate the underlying tail index via weighted combinations of top order statistics and asymmetric least squares estimates. hsbc qantas platinum credit cardWebGeneralized quantiles of a random variable were defined as the minimizers of a general asymmetric loss function, which include quantiles, expectiles and M-quantiles as their special cases. Expectiles have been suggested as potentially better alternatives to both Value-at-Risk and expected shortfall risk measures. hsbc qantas platinum travel insurance