Risk Measurement by G-Expected Shortfall

<div>Traffic light matrices for (<span class="nowrap"><svg height="11.927pt" id="M383" style="vertical-align:-3.291101pt" version="1.1" viewbox="-0.0498162 -8.6359 52.7271 11.927" width="52.7271pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M687 650H462V622C543 612 549 605 530 547C498 447 422 252 372 126H370C302 298 229 492 204 563C188 607 191 615 262 622V650H17V622C77 616 93 608 122 534C180 389 262 172 329 -11H360C436 196 541 450 568 516C606 605 619 614 687 622V650Z"></path></g><g transform="matrix(.013,0,0,-0.013,7.847,0)"><path d="M433 39L423 65C413 59 399 54 387 54C370 54 352 69 352 114V299C352 352 342 392 307 422C285 440 255 449 225 449C168 437 102 399 75 379C56 365 44 353 44 339C44 315 69 296 87 296C101 296 111 303 116 319C124 349 133 371 145 385C156 397 171 404 190 404C241 404 275 364 275 291V274C253 256 180 229 120 209C65 190 39 159 39 110C39 47 88 -12 159 -12C189 -12 237 25 277 52C282 35 288 21 301 8C312 -3 333 -12 348 -12L433 39ZM275 84C256 65 221 48 195 48C164 48 124 73 124 124C124 161 146 180 185 198C206 208 254 229 275 240V84Z"></path></g><g transform="matrix(.013,0,0,-0.013,13.554,0)"><path d="M631 18C609 24 585 35 559 65C534 91 514 117 478 169C448 214 406 281 389 313C462 346 516 399 516 485C516 545 490 590 449 616C412 641 363 650 290 650H42V622C120 615 128 612 128 527V125C128 40 120 34 38 28V0H300V28C221 34 212 40 212 125V284H244C295 284 312 272 329 244C359 195 395 133 430 84C475 19 516 -3 592 -7C603 -8 615 -8 627 -8L631 18ZM212 316V563C212 591 215 602 223 607C231 613 248 617 277 617C352 617 423 577 423 469C423 415 407 375 368 345C343 324 310 316 260 316H212Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,21.713,3.132)"><path d="M558 106L533 129C501 84 476 67 464 67C446 67 435 116 414 239C457 297 508 367 550 440L539 451L484 438C458 390 429 338 404 300H402C375 407 351 451 285 451C168 451 24 312 24 153C24 56 66 -12 132 -12C206 -12 284 64 345 156H347C367 24 386 -12 422 -12C457 -12 503 7 558 106ZM338 206C272 99 215 56 173 56C140 56 116 96 116 170C116 303 194 405 255 405C304 405 324 299 338 206Z"></path></g><g transform="matrix(.013,0,0,-0.013,27.527,0)"><path d="M95 130C70 130 46 113 46 88C46 72 54 64 59 64C93 55 121 33 121 -3C121 -41 93 -68 44 -88L55 -117C117 -98 186 -56 186 22C186 91 131 130 95 130Z"></path></g><g transform="matrix(.013,0,0,-0.013,32.67,0)"><path d="M593 650H142L136 622C219 616 224 611 209 531L130 120C114 39 108 34 23 28L17 0H501C518 32 557 130 568 158L540 169C519 132 495 93 469 70C439 43 409 35 332 35C272 35 241 37 225 50C211 61 211 89 222 149L253 320H350C441 320 443 312 441 239H471L510 434H481C455 366 448 358 360 358H260L303 572C311 613 312 615 348 615H431C509 615 522 603 532 581C544 555 546 531 545 491L574 493C583 555 592 631 593 650Z"></path></g><g transform="matrix(.013,0,0,-0.013,40.679,0)"><path d="M449 634C442 637 425 643 405 650C376 660 341 666 307 666C181 666 98 590 98 485C98 400 170 343 215 310L246 288C307 243 343 204 343 147C343 67 291 18 219 18C104 18 61 124 51 202L23 199C28 124 27 71 27 47C47 22 122 -16 204 -16C324 -16 428 60 428 174C428 256 379 309 307 360L276 382C223 419 179 455 179 516C179 576 221 632 293 632C379 632 410 564 418 487L448 490C446 536 446 592 449 634Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,46.75,3.132)"><path d="M558 106L533 129C501 84 476 67 464 67C446 67 435 116 414 239C457 297 508 367 550 440L539 451L484 438C458 390 429 338 404 300H402C375 407 351 451 285 451C168 451 24 312 24 153C24 56 66 -12 132 -12C206 -12 284 64 345 156H347C367 24 386 -12 422 -12C457 -12 503 7 558 106ZM338 206C272 99 215 56 173 56C140 56 116 96 116 170C116 303 194 405 255 405C304 405 324 299 338 206Z"></path></g></svg>)</span> forecasts at the significance level <svg height="12.3916pt" id="M384" style="vertical-align:-3.42948pt" version="1.1" viewbox="-0.0498162 -8.96212 38.5237 12.3916" width="38.5237pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M542 242C542 369 469 429 379 468C370 472 372 496 376 513L416 681L400 691L344 648L219 51C167 69 113 128 113 217C113 324 166 387 266 428L252 459C124 418 23 336 23 202C23 95 90 13 205 -8L182 -132C165 -222 191 -254 209 -261L215 -258L270 -7C415 -4 542 98 542 242ZM469 232C469 126 403 33 279 39L355 409C399 394 469 331 469 232Z"></path></g><g transform="matrix(.013,0,0,-0.013,10.978,0)"><path d="M535 323V373H52V323H535ZM535 138V188H52V138H535Z"></path></g><g transform="matrix(.013,0,0,-0.013,22.241,0)"><path d="M153 550H386L412 615L406 623H120L82 318C104 327 142 338 184 338C294 338 347 275 347 187C347 112 305 39 221 39C160 39 119 71 97 89C88 97 80 96 71 90C59 80 50 67 49 57C48 45 52 36 66 23C80 9 123 -12 169 -12C221 -11 288 15 342 59C403 109 431 165 431 225C431 308 366 395 238 395C212 395 165 379 127 364L153 550Z"></path></g><g transform="matrix(.013,0,0,-0.013,28.481,0)"><path d="M594 629L561 652L159 -9L190 -32L594 629ZM194 635C92 635 49 534 49 453C49 374 92 272 193 272C295 272 338 374 338 454S295 635 194 635ZM193 605C257 605 265 504 265 453C265 405 257 302 194 302C133 302 122 403 122 454S133 605 193 605ZM567 351C465 351 421 250 421 169C421 90 465 -12 566 -12S710 90 710 170S667 351 567 351ZM566 322C628 322 637 221 637 169C637 121 628 18 567 18S494 119 494 170C494 223 506 322 566 322Z"></path></g></svg> for CSI300 (top row), S&amp;P500 (middle row), and CAC40 (bottom row), respectively. The left and right parts are based on the scoring functions <svg height="11.8174pt" id="M385" style="vertical-align:-3.1815pt" version="1.1" viewbox="-0.0498162 -8.6359 11.1398 11.8174" width="11.1398pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M449 634C442 637 425 643 405 650C376 660 341 666 307 666C181 666 98 590 98 485C98 400 170 343 215 310L246 288C307 243 343 204 343 147C343 67 291 18 219 18C104 18 61 124 51 202L23 199C28 124 27 71 27 47C47 22 122 -16 204 -16C324 -16 428 60 428 174C428 256 379 309 307 360L276 382C223 419 179 455 179 516C179 576 221 632 293 632C379 632 410 564 418 487L448 490C446 536 446 592 449 634Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,6.071,3.132)"><path d="M389 0V32C297 38 291 46 291 118V635C234 613 175 595 109 583V556L161 554C203 552 207 547 207 497V118C207 46 201 38 110 32V0H389Z"></path></g></svg> and <span class="nowrap"><svg height="11.8174pt" id="M386" style="vertical-align:-3.1815pt" version="1.1" viewbox="-0.0498162 -8.6359 11.1398 11.8174" width="11.1398pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M449 634C442 637 425 643 405 650C376 660 341 666 307 666C181 666 98 590 98 485C98 400 170 343 215 310L246 288C307 243 343 204 343 147C343 67 291 18 219 18C104 18 61 124 51 202L23 199C28 124 27 71 27 47C47 22 122 -16 204 -16C324 -16 428 60 428 174C428 256 379 309 307 360L276 382C223 419 179 455 179 516C179 576 221 632 293 632C379 632 410 564 418 487L448 490C446 536 446 592 449 634Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,6.071,3.132)"><path d="M414 144C384 79 371 75 317 75H135L276 221C367 316 408 376 408 465C408 570 327 635 237 635C179 635 131 609 100 575L42 494L67 471C94 510 138 565 205 565C277 565 321 517 321 435C321 348 258 270 195 195C146 137 88 81 33 26V0H411C423 44 433 88 446 135L414 144Z"></path></g></svg>,</span> respectively.</div>

Mathematical Problems in Engineering

Risk Measurement by G-Expected Shortfall

Figure 6