Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/122016 
Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2015-047
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
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.
Schlagwörter: 
expected shortfall
expectiles
tail risk
risk management
tail events
tail moments
JEL: 
C13
C16
G20
G28
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
787.88 kB





Publikationen in EconStor sind urheberrechtlich geschützt.