ES under Sublinear Expectation and Related Experiment

In financial market, VaR and ES are applied to measure the risk of asset, portfolio management and margin calculation, which are the international unified standards for bank capital and risk supervision. However, VaR has some certain limitations, ES, as an important risk measurement method, has attracted the attention of financial institutions in recent years. Based on the sublinear expectation theory and G-VaR, this study proposes a new calculation method for ES, and denoted as G-ES. This calculation method can be naturally combined with the back testing of G-VaR. Based on the data of S\&P 500 index and CSI300 index, comparing with other commonly used models, such as historical simulation, AR-GARCH model and POT model based on extreme value theory, it is found that this G-ES method has a good performance within different historical data windows.