摘要
Since the financial crisis in 2008, the risk measures which are the core of risk management, 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 concept 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.
Since the financial crisis in 2008, the risk measures which are the core of risk management, 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 concept 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.
基金
the financial support,in part,from the National Science Fund of China(NSFC)for Distinguished Young Scholars(71625001)
NSFC grant(71631004)(Key Project)
the scholarship from China Scholarship Council(CSC)under the Grant CSC(N201706310023)
