A0439
Title: Improved confidence intervals for expectiles in risk management
Authors: Spiridon Penev - UNSW Sydney (Australia)
Yoshihiko Maesono - Chuo University (Japan) [presenting]
Abstract: After the global financial crisis, bank regulators' activities were directed toward proposing measures of risk that could be an alternative to the VaR. The VaR is not a coherent risk measure mainly due to the fact that it does not satisfy the subadditivity property. Meanwhile, the elicitability property was pointed out as another essential requirement. It then turned out, that expectiles have it all as they are both coherent and elicitable. The focus is on the derivation of the Edgeworth expansion for the standardized and the studentized version of the kernel-based estimator of the expectile. Inverting the expansion allows us to construct accurate confidence intervals for the expectile when sample sizes are moderate. The methodology is illustrated with an application in risk management in finance for the estimation and accurate confidence interval construction for the coherent risk measure expectile-VaR.