3 papers
stat.ME2026
Estimations of Extreme CoVaR and CoES under Asymptotic Independence
Qingzhao Zhong
The two popular systemic risk measures CoVaR (Conditional Value-at-Risk) and CoES (Conditional Expected Shortfall) have recently been receiving growing attention on applications in…
stat.ME2025
Nonparametric Inference for Extreme CoVaR and CoES
Qingzhao Zhong, Yanxi Hou
Systemic risk measures quantify the potential risk to an individual financial constituent arising from the distress of entire financial system. As a generalization of two widely ap…
stat.ME2024
Tail Risk Equivalent Level Transition and Its Application for Estimating Extreme -quantiles
Qingzhao Zhong, Yanxi Hou
-quantile has recently been receiving growing attention in risk management since it has desirable properties as a risk measure and is a generalization of two widely applied ri…