Semiparametric estimation of dynamic conditional expected shortfall models

The paper proposes a simple estimator for a class of Conditional Expected Shortfall risk measures. The estimator is semiparametric, in the sense that it does not require a full specification of the conditional distribution of the data, and it is very simple to compute, being a least squares estimator with a closed-form expression. We establish its consistency and asymptotic normality under mild regularity conditions. A simulation study provides evidence of the excellent finite-sample properties of the estimator and an application to some exchange rates highlights the semiparametric aspect of the new estimator. (copyright) 2008 Inderscience Enterprises Ltd.

coherent risk measures; conditional distribution; conditional value at risk; cvar; market risk; tail risk; tail var

Semiparametric estimation of dynamic conditional expected shortfall models Articles