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Approximating expected shortfall for heavy tailed distributions

Autor: Broda, S.A., Krause, J., Paolella, M.S.

The Basle Committee’s proposed move from Value at Risk to expected shortfall as the mandated risk measure in its market risk framework necessitates practical methods for evaluating it. This paper derives a saddlepoint approximation for this purpose

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=narcis______::6ab1bd7a2ca168201d9503776ecf8304
https://dare.uva.nl/personal/pure/en/publications/approximating-expected-shortfall-for-heavy-tailed-distributions(a10e5305-2080-401e-bfef-e87973f507b8).html

Saddlepoint approximations: a review and some new applications

Autor: Broda, S.A., Paolella, M.S., Gentle, J.E., Härdle, W.K., Mori, Y.

Publikováno v: Handbook of computational statistics: concepts and methods, 953-983
ISSUE=2;STARTPAGE=953;ENDPAGE=983;TITLE=Handbook of computational statistics: concepts and methods
Handbook of Computational Statistics ISBN: 9783642215506

The saddlepoint method of approximation is attributed to Daniels (1954), and can be described in basic terms as yielding an accurate and usually fast and very numerically reliable approximation to the mass or density function (hereafter pdf), and the

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::34eb1ef647da1e3e841d5ba04f30c372
https://dare.uva.nl/personal/pure/en/publications/saddlepoint-approximations-a-review-and-some-new-applications(ecf887e3-9da1-4cfd-ada0-68c291fab141).html