Bootstrapping the Expected Shortfall

descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 2018Publisher:Scientific Research Publishing, Inc.Journal:Theoretical Economics Letters, volume 8, pages 685-698 (issn: 2162-2078, eissn: 2162-2086,

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Authors: Shuxia Sun; Fuxia Cheng;

doi: 10.4236/tel.2018.84046

Bootstrapping the Expected Shortfall

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Abstract

The expected shortfall is a popular risk measure in financial risk management. It is defined as the conditional expected loss given that the loss is greater than a given high quantile. We derive the asymptotic properties of the blocking bootstrap estimators for the expected shortfall of a stationary process under strong mixing conditions.

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