Seminari del Dipartimento di Matematica

Seminario del 2014

Dott. Fabio Bellini - Milano Bicocca

Risk management with expectiles

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

finanza matematica

We discuss the main properties of the expectiles, a one parameter family of coherent risk measures introduced in the statistical literature by Newey and Powell (1987). Expectiles are the only coherent risk measures that are also elicitable, in the sense that they can be equivalently defined as the minimizers of an expected loss; this property provides a natural methodology to perform a consistent backtesting. In this talk we explore the potential applicability of expectiles in a capital regulation framework, as an alternative to VaR and CVaR.