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Applied Mathematics-A Journal of Chinese Universities  2019, Vol. 34 Issue (2): 205-    DOI: 10.1007/s11766-019-3628-9
    
Econometric modeling of risk measures: A selective review of the recent literature
TIAN Ding-shi, CAI Zong-wu, FANG Ying
1 Wang Yanan Institute for Studies in Economics, Department of Statistics, School of Economics,  Ministry of Education Key Laboratory of Econometrics and Fujian Key Laboratory of Statistical Science,Xiamen University, Xiamen, Fujian 361005, China.
2 Department of Economics, University of Kansas, Lawrence, KS 66045, USA.
Econometric modeling of risk measures: A selective review of the recent literature
TIAN Ding-shi, CAI Zong-wu, FANG Ying
1 Wang Yanan Institute for Studies in Economics, Department of Statistics, School of Economics,  Ministry of Education Key Laboratory of Econometrics and Fujian Key Laboratory of Statistical Science,Xiamen University, Xiamen, Fujian 361005, China.
2 Department of Economics, University of Kansas, Lawrence, KS 66045, USA.
 全文: PDF 
摘要： Since the financial crisis in 2008, the risk measures which are the core of risk management,
have received increasing attention among economists and practitioners. In this review,
the concentration is on recent developments in the estimation of the most popular risk measures,
namely, value at risk (VaR), expected shortfall (ES), and expectile. After introducing the concept
of risk measures, the focus is on discussion and comparison of their econometric modeling.
Then, parametric and nonparametric estimations of tail dependence are investigated. Finally,
we conclude with insights into future research directions.
关键词： Expectile;  Expected Shortfall;  Network Risk;  Nonparametric Estimation;  Tail Dependence;  Value at Risk    
Abstract: Since the financial crisis in 2008, the risk measures which are the core of risk management,
have received increasing attention among economists and practitioners. In this review,
the concentration is on recent developments in the estimation of the most popular risk measures,
namely, value at risk (VaR), expected shortfall (ES), and expectile. After introducing the concept
of risk measures, the focus is on discussion and comparison of their econometric modeling.
Then, parametric and nonparametric estimations of tail dependence are investigated. Finally,
we conclude with insights into future research directions.
Key words: Expectile    Expected Shortfall    Network Risk    Nonparametric Estimation    Tail Dependence    Value at Risk
出版日期: 2019-07-03
CLC:  62-02  
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TIAN Ding-shi
CAI Zong-wu
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引用本文:

TIAN Ding-shi, CAI Zong-wu, FANG Ying. Econometric modeling of risk measures: A selective review of the recent literature[J]. Applied Mathematics-A Journal of Chinese Universities, 2019, 34(2): 205-.

TIAN Ding-shi, CAI Zong-wu, FANG Ying. Econometric modeling of risk measures: A selective review of the recent literature. Applied Mathematics-A Journal of Chinese Universities, 2019, 34(2): 205-.

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http://www.zjujournals.com/amjcub/CN/10.1007/s11766-019-3628-9    或    http://www.zjujournals.com/amjcub/CN/Y2019/V34/I2/205

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