Nguyen Ho EVA Talk Preview
From Anna Munro
views
comments
From Anna Munro
This talk has captions. You can remove these by pressing CC on the video toolbar.
Name: Nguyen Ho
Talk Title: A Weissman-type estimator of the conditional marginal expected shortfall
Abstract: The marginal expected shortfall is an important risk measure in finance, which has been extended recently in the case where the random variables of main interest $(Y^{(1)}, Y^{(2)})$ are observed together with a covariate $X\in \mathbb R^d$. This leads to the concept of conditional marginal expected shortfall. It is defined as $\theta_{p}(x_0)=\mathbb E[Y^{(1)}| Y^{(2)}\geq Q_{Y^{(2)}}(1-p|x_0); x_0],$ where $p$ is small and $Q_{Y^{(2)}}$ denotes the quantile function of $Y^{(2)}$. In this paper, we propose an estimator for $\theta_p(x_0)$ allowing extrapolation outside the $Y^{(2)}-$data range, i.e., valid for $p
This talk is a contributed talk at EVA 2021. View the programme here.
The University of Edinburgh is a charitable body, registered in Scotland, with registration number SC005336, VAT Registration Number GB 592 9507 00, and is acknowledged by the UK authorities as a “Recognised body” which has been granted degree awarding powers.
Any views expressed within media held on this service are those of the contributors, should not be taken as approved or endorsed by the University, and do not necessarily reflect the views of the University in respect of any particular issue.
Unless explicitly stated otherwise, all material is copyright © The University of Edinburgh 2021 and may only be used in accordance with the terms of the licence.