Bootstrapping the Expected Shortfall

Shuxia Sun; Fuxia Cheng

doi:10.4236/tel.2018.84046

Bootstrapping the Expected Shortfall

Shuxia Sun
, Fuxia Cheng

Mathematics and Statistics

Research output: Contribution to journal › Article › peer-review

Abstract

The expected shortfall is a popular risk measure in financial risk management. It is defined as the conditional expected loss given that the loss is greater than a given high quantile. We derive the asymptotic properties of the blocking bootstrap estimators for the expected shortfall of a stationary process under strong mixing conditions.

Original language	American English
Pages (from-to)	685-698
Journal	Theoretical Economics Letters
Volume	8
DOIs	https://doi.org/10.4236/tel.2018.84046
State	Published - 2018

Keywords

High Quantile
Risk Measure
Moving Block Bootstrap
Nonparametric Estimation
Strong Mixing Sample Quantile

Disciplines

Mathematics

Access to Document

10.4236/tel.2018.84046License: CC BY-NC

Cite this

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title = "Bootstrapping the Expected Shortfall",

abstract = "The expected shortfall is a popular risk measure in financial risk management. It is defined as the conditional expected loss given that the loss is greater than a given high quantile. We derive the asymptotic properties of the blocking bootstrap estimators for the expected shortfall of a stationary process under strong mixing conditions.",

keywords = "High Quantile, Risk Measure, Moving Block Bootstrap, Nonparametric Estimation, Strong Mixing Sample Quantile",

author = "Shuxia Sun and Fuxia Cheng",

year = "2018",

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language = "American English",

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pages = "685--698",

journal = "Theoretical Economics Letters",

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AU - Cheng, Fuxia

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AB - The expected shortfall is a popular risk measure in financial risk management. It is defined as the conditional expected loss given that the loss is greater than a given high quantile. We derive the asymptotic properties of the blocking bootstrap estimators for the expected shortfall of a stationary process under strong mixing conditions.

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KW - Risk Measure

KW - Moving Block Bootstrap

KW - Nonparametric Estimation

KW - Strong Mixing Sample Quantile

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DO - 10.4236/tel.2018.84046

M3 - Article

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JF - Theoretical Economics Letters

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