TITLE:
Estimation of Conditional Weighted Expected Shortfall under Adjusted Extreme Quantile Autoregression
AUTHORS:
Martin M. Kithinji, Peter N. Mwita, Ananda O. Kube
KEYWORDS:
Exreme Quantile Autoregression, Expected Shortfall, Value at Risk, Coherence, Risk Measurement
JOURNAL NAME:
Journal of Mathematical Finance,
Vol.11 No.3,
July
14,
2021
ABSTRACT: In this paper, we present an estimator that improves the well-calibrated coherent risk measure: expected shortfall by restructuring its functional form to incorporate dynamic weights on extreme conditional quantiles used in its definition. Adjusted Extreme Quantile Autoregression will is used in estimating intermediary location measures. Consistency and coherence of the estimator are also proved. The resulting estimator was found to be less conservative compared to the expected shortfall.