Article ID Journal Published Year Pages File Type
5089575 Journal of Banking & Finance 2013 7 Pages PDF
Abstract
► We identify two aspects where the estimation error may be of importance for ES. ► ES may overestimate the actual expected loss given VaR exceedence. ► The expectation of ES may be smaller than the expected loss given VaR exceedence. ► The relevance of the interpretation aspect is assessed in an empirical application.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
On the role of the estimation error in prediction of expected shortfall
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