##### Department of Mathematics,

University of California San Diego

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### Department Colloquium

## Xuming He

#### University of Michigan

## Covariate-adjusted Expected Shortfall: Some Recent Developments

##### Abstract:

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 an expected 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.Wenxin Zhou

### January 19, 2023

### 11:00 AM

APM 6402

Research Areas

Statistics****************************