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Activity Number:
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339
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Type:
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Contributed
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Date/Time:
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Tuesday, July 31, 2007 : 2:00 PM to 3:50 PM
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Sponsor:
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Section on Risk Analysis
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| Abstract - #310391 |
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Title:
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Bootstrapping the Expected Shortfall
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Author(s):
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Shuxia Sun*+
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Companies:
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Wright State University
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Address:
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Deparment of Mathematics and Statistics, Dayton, OH, 45435,
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Keywords:
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expected shortfall ; high quantile ; risk measure ; blocking bootstrap ; nonparametric
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Abstract:
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The expected shortfall is a popular risk measure in financial risk management. It is defined as the expected loss on a portfolio of financial assets knowing that the loss is larger than a given high quantile. We derive the asymptotic properties of the blocking bootstrap estimators for the expected shortfall of a stationary process under strongly mixing conditions. Results from empirical examples and a small simulation study will also be presented to evaluate the performance of the proposed block bootstrap estimators.
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- The address information is for the authors that have a + after their name.
- Authors who are presenting talks have a * after their name.
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