, we propose an intra-horizon analogue of the expected shortfall for general profit and loss processes and discuss its key … properties. Our intra-horizon expected shortfall is well-defined for (m)any popular class(es) of Levy processes encountered when …

A popular risk measure, conditional value-at-risk (CVaR), is called expected shortfall (ES) in financial applications …

-day equity log-returns, MSGARCH models yield more accurate Value-at-Risk, Expected Shortfall, and left–tail distribution … Value-at-Risk, d’Expected Shortfall et de la densité que les modèles GARCH sans changement de régime. De plus, mes résultats …

focusing on market declines using the expected shortfall (ES), referred to as the ES-implied correlation, to improve the …

) GARCH model, play a crucial role in forecasting Value-at-Risk (VaR) or Expected Shortfall (ES). The additional inclusion of … bedingten Korrelation (DCC), spielen eine entscheidende Rolle bei der Vorhersage des Value-at-Risk (VaR) oder des Expected … Shortfall (ES). Die zusätzliche Einbeziehung von konstanten Korrelationstests in Korrelationsmodelle hat sich als hilfreich …

Expected Shortfall (ES) uncertainty intervals in high frequency data. A Bayesian bootstrapping and backtest density forecasts …

calculation of the value at risk and the expected shortfall of the investment portfolio in the related multivariate stochastic …

% confidence level, and Value-at-Risk at a 99% confidence level. Expected Shortfall was another extreme risk value measure. The …

risk and reward. With daily data from 2012 to 2020, we illustrate the models' applicability by building a minimum expected … shortfall portfolio and comparing its performance to that of an equally weighted benchmark. Our results should be of interest to …