Estimating Value at Risk and Expected Shortfall Using Expectiles
Year: 2007
Type: article
Abstract: Expectile models are derived using asymmetric least squares. A simple formula has been presented that relates the expectile to the expectation of exceedances beyond the expectile. We use this as the basis for estimating the expected shortfall. It has been proposed that the θ quantile be estimated by the expectile for which the proportion of observations below the expectile is θ. In this way, an expectile can be used to estimate value at risk. Using expectiles has the appeal of avoiding distributional assumptions. For univariate modeling, we introduce conditional autoregressive expectiles (CARE). Empirical results for the new approach are competitive with established benchmarks methods.
Author: J. W. Taylor
Institution: University of Oxford
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2107877262