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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.