Einmahl, John; Cai, J.; de Haan, L.F.M.; Zhou, C. - Tilburg University, Center for Economic Research - 2012
Abstract: Denote the loss return on the equity of a financial institution as X and that of the entire market as Y . For a given very small value of p 0, the marginal expected shortfall (MES) is defined as E(X | Y QY (1−p)), where QY (1−p) is the (1−p)-th quantile of the distribution of Y...
