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Expected shortfall of a portfolio

  • Thread starter Thread starter Vierni
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Vierni

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I'm trying to find some good methods to estimate expected shortfall (ES) of a portfolio. Would it for instance be appropriate to use the DCC-GARCH model to estimate the covariance matrix and then use this estimate in the multivariate normal distribution for calculating ES? This seems to be the method in the paper by Lee etal. from 2006 (link below) but they consider value at risk.

 

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