Covariate-Adjusted Expected Shortfall: Some Recent Developments

23.09.2022 11:15 – 12:15


Expected shortfall, measuring the average outcome (e.g., portfolio loss) above a given quantile of its probability distribution, is a common financial risk measure. The same measure can be used to characterize treatment effects in the tail of an outcome distribution, with applications ranging from policy evaluation in economics and public health to biomedical investigations. Expected shortfall regression is a natural approach of modeling covariate-adjusted expected shortfalls. Because the expected shortfall cannot be written as a solution of a convex loss function at the population level, computational as well as statistical challenges around expected shortfall regression have led to stimulating research. We discuss some recent developments in this area, with a focus on a new optimization-based semiparametric approach to estimation of conditional expected shortfall that adapts well to data heterogeneity with minimal model assumptions.


Bâtiment: Uni Mail

ONLINE & in Uni Mail

Boulevard du Pont-d'Arve 40
1205 Geneva

Room M 5220, 5th floor

Organisé par

Faculté d'économie et de management
Research Center for Statistics


Xuming HE, University of Michigan, USA

entrée libre


Catégorie: Séminaire

Plus d'infos

Contact: missing email