introduced to further decrease the numerical standard errors of the Value-at-Risk and Expected Shortfall estimators. The third …

This paper proposes a novel and simple approach to compute daily Value at Risk (VaR) and Expected Shortfall (ES …

In this paper, we employ 99% intraday value-at-risk (VaR) and intraday expected shortfall (ES) as risk metrics to …’ knowledge) in: (1) forecasting the intraday Expected Shortfall (ES) under different distributional assumptions for the MC …

backtest the standard market risk measures such as value-at-risk or expected shortfall. We introduce a concept of violation … associated with the marginal expected shortfall (MES), and we define unconditional coverage and independence tests for these …