42 citations · 108 across the 17 of their papers we have counts for
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q-fin.RM2019
Dual Representation of Expectile based Expected Shortfall and Its Properties
Samuel Drapeau, Mekonnen Tadese
The expectile can be considered as a generalization of quantile. While expected shortfall is a quantile based risk measure, we study its counterpart -- the expectile based expected…
q-fin.RM2019★ 1 cited
Relative Bound and Asymptotic Comparison of Expectile with Respect to Expected Shortfall
Samuel Drapeau, Mekonnen Tadese
Expectile bears some interesting properties in comparison to the industry wide expected shortfall in terms of assessment of tail risk. We study the relationship between expectile a…