Risk Measurement by G-Expected Shortfall

摘要

G-expected shortfall (G-ES), which is a new type of worst-case expected shortfall (ES), is defined as measuring risk under infinite distributions induced by volatility uncertainty. Compared with extant notions of the worst-case ES, the G-ES can be computed using an explicit formula with low computational cost. We also conduct backtests for the G-ES. The empirical analysis demonstrates that the G-ES is a reliable risk measure.