Econometric modeling of risk measures: A selective review of the recent literature
TIAN Ding-shi, CAI Zong-wu, FANG Ying
Appl. Math. J. Chinese Univ. Vol. 34, No. 2
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Since the financial crisis in 2008, the risk measures which are the core of risk man- agement, 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 con- cept 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.
JEL-Codes: 62-02, 62M10, 62G08
Keywords: Expectile, Expected Shortfall, Network Risk, Nonparametric Estimation, Tail Dependence, Value at Risk.

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