Nonparametric estimation and comparative analyses of ES in risk measure with applications
金融风险管理中ES度量的非参数方法的比较及其应用

Expected shortfall(ES) model developed recently is a powerful mathematical tool to measure and control financial risk.In this paper,two-step kernel smoothed processes are used to develop a two-step nonparametric estimator of ES.Comparisons between the proposed two-step kernel smoothed ES estimator to the existing fully empirical ES estimator and one-step kernel smoothing ES estimator were made by calculating expectation and variance of them.It is of great interest that the proposed two-step kernel smoothed ...