# Department Seminar by Rafal Kulik, University of Ottawa

Thursday, October 26, 2017 — 4:00 PM EDT

Estimation of the expected shortfall given an extreme component under conditional extreme value model

For two risks, $X$, and $Y$ , the Marginal Expected Shortfall (MES) is defined as $E[Y \mid X > x]$, where $x$ is large. MES is an important factor when measuring the systemic risk of financial institutions. In this talk we will discuss consistency and asymptotic normality of an estimator of MES on assuming that $(X, Y)$ follows a Conditional Extreme Value (CEV) model. The theoretical findings are supported by simulation studies. Our procedure is applied to some financial data. This is a joint work with Kevin Tong (Bank of Montreal).

Location
M3 - Mathematics 3
Room: 3127
200 University Avenue West
Waterloo, ON N2L 3G1

### March 2018

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