Estimating Expected Shortfall Using Parametric and Non-Parametric Approaches
With the implementation of the Fundamental Review of the Trading Book in January of 2022, financial institutions will be obligated to implement Expected Shortfall as a means of determining market risk capital. With the transition from Value at Risk to Expected Shortfall, the question of how to accurately forecast Expected Shortfall arises. This paper investigates the forecasting ability of non-par