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Expected shortfall and Harell-Davis estimators of value-at-risk

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Gadomski L., Glavan V.
Metody Ilościowe w Badaniach Ekonomicznych
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2010
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vol. 11
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issue 1
81-89
EN
The most widely used estimator for the Value-at-Risk is the corresponding order statistic. It relies on a single historic observation date, therefore it can exhibit high variability and provides little information about the distribution of losses around the tail. In this paper we purpose to replace this estimator of VaR by an appropriately chosen estimator of the Expected Shortfall. We also consider the Harrel-Davis estimator of VaR and give some comparative analysis among these estimators.
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