This paper offers some new directions in the analysis of nonparamertric models with exogenous treatment assignment. The nonparametric approach opens the door to the examination of potentially different distributed outcomes. When combined with cross-validation, it also identifies potentially...

The Basel Committee on Banking Supervision (BCBS) (2013) recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The BCBS (2013) noted that - a number of weaknesses have been identified with using VaR for determining regulatory capital...