SFB649DP2015 047
TERES - Tail Event Risk Expectile based Shortfall
Philipp Gschöpf
Wolfgang Karl Härdle
Andrija Mihoci
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.
Keywords:
Expected Shortfall, expectiles, tail risk, risk management, tail events, tail moments
JEL Classification:
C13, C16, G20, G28