TERES - Tail Event Risk managing Expected Shortfall

Philipp Gschöpf (Humboldt-Universität zu Berlin)
Monday, June 15, 2015 - 2:00pm
Spandauer Straße 1, Room 23

A flexible framework for a tail event driven expected shortfall estimation is proposed. Our model allows to capture the risk associated with extreme (market) conditions. Connecting the implied tail thickness of a family of distributions with the quantile and expectile estimation, a platform for risk assessment is provided. Expected shortfall dynamics under different tail structure scenarios are investigated, particularly the implications of increased tail risk are discussed. Our empirical results from the US, German and UK stock markets, as well as for selected commodities and currencies indicate that expected shortfall can be successfully estimated on a daily basis using a one-year time horizon across different risk levels.