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q-fin.RM2025
A high-frequency approach to Realized Risk Measures
Federico Gatta, Fabrizio Lillo, Piero Mazzarisi
We propose a new approach, termed Realized Risk Measures (RRM), to estimate Value-at-Risk (VaR) and Expected Shortfall (ES) using high-frequency financial data. It extends the Real…
q-fin.RM2024
CAESar: Conditional Autoregressive Expected Shortfall
Federico Gatta, Fabrizio Lillo, Piero Mazzarisi
In financial risk management, Value at Risk (VaR) estimates potential portfolio losses but fails to account for losses beyond a certain threshold. Expected Shortfall (ES) addresses…