TITLE:
Bootstrapping the Expected Shortfall
AUTHORS:
Shuxia Sun, Fuxia Cheng
KEYWORDS:
High Quantile, Risk Measure, Moving Block Bootstrap, Nonparametric Estimation, Strong Mixing Sample Quantile
JOURNAL NAME:
Theoretical Economics Letters,
Vol.8 No.4,
March
7,
2018
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.