We use tail expectiles to estimate alternative measures to the value at risk and marginal
expected shortfall, which are two instruments of risk protection of utmost importance in …

The supplementary material (Gnecco et al.(2020)) consists of six sections. Section A
summarises important facts about regularly varying random variables. Section B contains …

This article reviews methods from extreme value analysis with applications to risk
assessment in finance. It covers three main methodological paradigms: the classical …

In this paper we assume a multivariate risk model has been developed for a portfolio and its
capital derived as a homogeneous risk measure. The Euler (or gradient) principle, then …

In this paper, we decompose banks' systemic risk into two dimensions: the risk of a bank
(“bank tail risk”) and the link of the bank to the system in financial distress (“systemic …

Quantiles and expectiles of a distribution are found to be useful descriptors of its tail in the
same way as the median and mean are related to its central behavior. This article considers …

This paper investigates on what drives the different determinants of systemic risk
contribution in different countries, based on a dataset for commercial banks in a bank-based …

Tail expectile process and risk assessment Page 1 Bernoulli 26(1), 2020, 531–556 https://doi.org/10.3150/19-BEJ1137
Tail expectile process and risk assessment ABDELAATI DAOUIA1, STÉPHANE GIRARD2 …

The class of quantiles lies at the heart of extreme-value theory and is one of the basic tools
in risk management. The alternative family of expectiles is based on squared rather than …

Following recent studies of systemic risk in banking, finance, and insurance, we quantify
systemic expected shortfall (SES) and marginal expected shortfall (MES) in a general …