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Article Dans Une Revue Econometric Reviews Année : 2016

Conditional VaR and expected shortfall: a new functional approach

Résumé

We estimate two well-known risk measures, the Value-at-risk and the expected shortfall, conditionally to a functional variable (i.e., a random variable valued in some semi(pseudo)-metric space). We use nonparametric kernel estimation for constructing estimators of these quantities, under general dependence conditions. Theoretical properties are stated whereas practical aspects are illustrated on simulated data: nonlinear functional and GARCH(1,1) models. Some ideas on bandwidth selection using bootstrap are introduced. Finally, an empirical example is given through data of the S&P 500 time series. Corresponding author: Alejandro Quintela-del-Río.
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hal-01980180 , version 1 (25-01-2019)

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Frédéric Ferraty, Alejandro Quintela-Del-Río. Conditional VaR and expected shortfall: a new functional approach. Econometric Reviews, 2016, 35 (2), pp.263-292. ⟨10.1080/07474938.2013.807107⟩. ⟨hal-01980180⟩
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