Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

SFB649DP2015 047

TERES - Tail Event Risk Expectile based Shortfall

Philipp Gschöpf
Wolfgang Karl Härdle
Andrija Mihoci

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.

Expected Shortfall, expectiles, tail risk, risk management, tail events, tail moments

JEL Classification:
C13, C16, G20, G28