Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/122016
Authors: 
Gschöpf, Philipp
Härdle, Wolfgang Karl
Mihoci, Andrija
Year of Publication: 
2015
Series/Report no.: 
SFB 649 Discussion Paper 2015-047
Abstract: 
A flexible framework for the analysis of tail events is proposed. The framework contains tail moment measures that allow for Expected Shortfall (ES) estimation. Connecting the implied tail thickness of a family of distributions with the quantile and expectile estimation, a platform for risk assessment is provided. ES and implications for tail events under different distributional scenarios are investigated, particularly we discuss the implications of increased tail risk for mixture distributions. Empirical results from the US, German and UK stock markets, as well as for the selected currencies indicate that ES can be successfully estimated on a daily basis using a one-year time horizon across different risk levels.
Subjects: 
expected shortfall
expectiles
tail risk
risk management
tail events
tail moments
JEL: 
C13
C16
G20
G28
Document Type: 
Working Paper

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