Estimation of the marginal expected shortfall: the mean when a related variable is extreme
Estimation of the marginal expected shortfall: the mean when a related variable is extreme
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DOI:
10.1111/rssb.12069
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发表时间:
2012-09
期刊:
影响因子:
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通讯作者:
J. Cai;J. Einmahl;L. Haan;Chen Zhou
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文献类型:
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作者:
J. Cai;J. Einmahl;L. Haan;Chen Zhou
Denote the loss return on the equity of a financial institution as X and that of the entire market as Y. For a given very small value of p>0, the marginal expected shortfall (MES) is defined as E{X|Y>QY(1−p)} , where QY(1−p) is the (1−p)th quantile of the distribution of Y. The MES is an important factor when measuring the systemic risk of financial institutions. For a wide non‐parametric class of bivariate distributions, we construct an estimator of the MES and establish the asymptotic normality of the estimator when p↓0, as the sample size n→∞. Since we are in particular interested in the case p=O(1/n), we use extreme value techniques for deriving the estimator and its asymptotic behaviour. The finite sample performance of the estimator and the relevance of the limit theorem are shown in a detailed simulation study. We also apply our method to estimate the MES of three large US investment banks.