Asymptotic behavior of expected shortfall for portfolio loss under bivariate dependent structure. Issue 1 (2nd January 2021)

• Record Type: Journal Article
• Authors: Wei, Shengxue; Gan, Xiaoli; Xing, Guodong
• Is Part Of: Communications in statistics. Volume 50:Issue 1(2021)
• Page Start: 132
• Page End: 142
• Publication Date: 2021-01-02
• Subjects: Asymptotics -- expected shortfall -- spectral risk measure -- bivariate Eyraud-Farlie-Gumbel-Morgenstern copula -- power-law; 60F05 -- 91B30; Mathematical statistics -- Periodicals; Mathematics; Statistics; 519.2
• DOI: 10.1080/03610926.2019.1630439
• Languages: English
• ISSNs: 0361-0926

Abstract

Abstract: Under the dependent structure of bivariate Eyraud-Farlie-Gumbel-Morgenstern copula, we present the asymptotics of expected shortfall for portfolio loss as the confidence level tends to one. Additionally, the corresponding asymptotics of spectral risk measure is also given. In order to illustrate the obtained main result, a numerical example and its relevant simulation are carried out.