A note on calculating expected shortfall for discrete time stochastic volatility models  

作　　者：Michael Grabchak Eliana Christou 

机构地区：[1]Department of Mathematics and Statistics,University of North Carolina at Charlotte,9201 University City Blvd,Charlotte,NC 28223,USA

出　　处：《Financial Innovation》2021年第1期926-941,共16页金融创新（英文）

摘　　要：In this paper we consider the problem of estimating expected shortfall(ES)for discrete time stochastic volatility(SV)models.Specifically,we develop Monte Carlo methods to evaluate ES for a variety of commonly used SV models.This includes both models where the innovations are independent of the volatility and where there is dependence.This dependence aims to capture the well-known leverage effect.The performance of our Monte Carlo methods is analyzed through simulations and empirical analyses of four major US indices.

关 键 词：Expected shortfall Stochastic volatility VALUE-AT-RISK 

分 类 号：O17[理学—数学]