2
$\begingroup$

Are there any results for calculating the variability in the Expected Shortfall measure. I am looking for Large sample confidence intervals under Normality for Expected Shortfall or calculation of standard error for the same.

$\endgroup$
1
$\begingroup$

I wrote this paper a couple of years ago where we discuss this kind of topic.

On page 6, you see a formula that comes from a paper from Acerbi available in Szego's book:

$$\sigma^2(ES^{(N)}_\alpha(X)) \overset{N>>1}{=} \frac{1}{N(1-\alpha)^2} \int_0^{F^{-1}(1-\alpha)} dx \int_0^{F^{-1}(1-\alpha)} dy \{ \min( F(x), F(y) ) - F(x)F(y) \}$$

This should be a good starting point and reference for you to derive the confidence interval.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.