Title: Semiparametric estimation of dynamic conditional expected shortfall models

Authors: Juan Carlos Escanciano, Silvia Mayoral

Addresses: Department of Economics, Indiana University, 100 S. Woodlawn, Wylie Hall, Bloomington, IN 47405-7104, USA. ' Facultad de Economicas, Universidad de Navarra, Edificio Biblioteca (Entrada Este), Pamplona, 31080, Navarra, Spain

Abstract: The paper proposes a simple estimator for a class of Conditional Expected Shortfall risk measures. The estimator is semiparametric, in the sense that it does not require a full specification of the conditional distribution of the data, and it is very simple to compute, being a least squares estimator with a closed form expression. We establish its consistency and asymptotic normality under mild regularity conditions. A simulation study provides evidence of the excellent finite-sample properties of the estimator and an application to some exchange rates highlights the semiparametric aspect of the new estimator.

Keywords: conditional value at risk; CVaR; Tail VaR; coherent risk measures; tail risk; market risk; conditional distribution; semiparametric estimation; conditional expected shortfall models.

DOI: 10.1504/IJMEF.2008.019217

International Journal of Monetary Economics and Finance, 2008 Vol.1 No.2, pp.106 - 120

Published online: 02 Jul 2008 *

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