Bootstrapping the Expected Shortfall - Theoretical Economics Letters

TEL > Vol.8 No.4, April 2018

Theoretical Economics Letters

Volume 8, Issue 4 (April 2018)

ISSN Print: 2162-2078 ISSN Online: 2162-2086

Google-based Impact Factor: 1.34 Citations

Bootstrapping the Expected Shortfall ()

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DOI: 10.4236/tel.2018.84046 945 Downloads 2,166 Views Citations

Author(s)

Shuxia Sun¹, Fuxia Cheng²

Affiliation(s)

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

ABSTRACT

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.

KEYWORDS

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

Share and Cite:

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

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