We consider a nonparametric method to estimate conditional expected shortfalls, i.e. conditional expected losses knowing that losses are larger than a given loss quantile. We derive the asymptotic properties of kernal estimators of conditional expected shortfalls in the context of a stationary...

This paper will examine some commonly adopted approaches to the measurement of risk in finance and the various shortcomings implicit in the underpinnings of these approaches: early views on the nature of risk and uncertainty (Hume, Bernoulli, Knight, Keynes and Ramsey); the adoption of a mean...

This study employs a parametric approach based on TGARCH and GARCH models to estimate the VaR of the copper futures market and spot market in China. Considering the short selling mechanism in the futures market, the paper introduces two new notions: upside VaR and extreme upside risk spillover....