Author(s)

Shuxia Sun¹, Fuxia Cheng²

¹Wright State University, Dayton, OH, USA.
²Illinois State University, Normal, IL, USA.

The expected shortfall is a popular risk measure in financial risk management. It is defined as the conditional expected loss given that the loss is greater than a given high quantile. We derive the asymptotic properties of the blocking bootstrap estimators for the expected shortfall of a stationary process under strong mixing conditions.

High Quantile, Risk Measure, Moving Block Bootstrap, Nonparametric Estimation, Strong Mixing Sample Quantile

Sun, S. and Cheng, F. (2018) Bootstrapping the Expected Shortfall. Theoretical Economics Letters, 8, 685-698. doi: 10.4236/tel.2018.84046.