Conditional Value-at-Risk: Semiparametric estimation and inference
条件风险价值：半参数估计与推断
Conditional Value-at-Risk (CVaR) plays an important role in financial risk management. Nonparametric CVaR estimation suffers from the “curse of dimensionality” and slow convergence rate. To overcome these issues, we study semiparametric CVaR estimation and inference for parametric model with nonparametric noise distribution. Under a general framework that allows for many widely used time series models, we propose a semiparametric CVaR estimator that achieves the parametric…