No shortfall of ES estimators: Insights from cryptocurrency portfolios

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE Finance Research Letters Pub Date : 2024-12-28 DOI:10.1016/j.frl.2024.106685

Matúš Horváth, Tomáš Výrost

引用次数: 0

Abstract

Since the Basel III accords, Expected Shortfall (ES) has become the recommended tail-risk measure in financial investments. Several methods of different theoretical backgrounds, complexity, and ease of implementation have since been developed for ES. As the competing set of models for ES grows, the question of which one to use becomes relevant to both academia and practitioners. We compare the predictive ability of four classes of models for ES estimation and identify a superior set. We verify the viability of these models in portfolio applications based on cryptocurrencies, an asset class with high volatility, particularly suitable for tail risk mitigation.

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不缺ES估计器：来自加密货币投资组合的见解

自巴塞尔协议III达成以来，预期缺口（ES）已成为金融投资中推荐的尾部风险指标。已经为ES开发了几种不同理论背景、复杂性和实现难易程度的方法。随着ES的竞争模型集的增长，使用哪一种模型的问题与学术界和实践者都相关。我们比较了四类模型对ES估计的预测能力，并确定了一个较优的模型集。我们在基于加密货币的投资组合应用中验证了这些模型的可行性，加密货币是一种高波动性的资产类别，特别适合于尾部风险缓解。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance