Journal article icon

Journal article

Forecasting value at risk and expected shortfall using a model with a dynamic omega ratio

Abstract:

A joint model for the Value at Risk (VaR) and expected shortfall (ES) can be estimated using a joint scoring function. Previous work has modelled the ES as the product of the VaR and a constant factor. However, this implies the same dynamics for the ES and the VaR. We propose a time-varying multiplicative factor. The ES has been expressed as the product of an expectile and a constant factor that depends on the expectile level. We rewrite this as the product of a quantile and a function of a t...

Expand abstract
Publication status:
Published
Peer review status:
Peer reviewed

Actions


Access Document


Files:
Publisher copy:
10.1016/j.jbankfin.2022.106519

Authors


More by this author
Institution:
University of Oxford
Division:
SSD
Department:
Saïd Business School
Oxford college:
St Cross College
Role:
Author
Publisher:
Elsevier
Journal:
Journal of Banking and Finance More from this journal
Volume:
140
Article number:
106519
Publication date:
2022-04-26
Acceptance date:
2022-04-24
DOI:
ISSN:
0378-4266
Language:
English
Keywords:
Pubs id:
1253553
Local pid:
pubs:1253553
Deposit date:
2022-04-26

Terms of use


Views and Downloads






If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP