Standard nonparametric estimators of quantiles based on order statistics can be used not only when the data are i.i.d., but also when the data are drawn from a stationary, φ -mixing process of ...

Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 80, No. 5 (2018), pp. 975-993 (19 pages) Estimating conditional quantiles of financial time series is essential for ...

Since its proposal as an alternative risk measure to value-at-risk (VaR), expected shortfall (ES) has attracted a great deal of attention in financial risk management, primarily owing to its coherent ...

Within the loss distribution approach framework, the required capital is the 99.9% value-at-risk of the annual loss distribution, which is based on the fit of the severity and frequency distributions ...