Expected Shortfall: A Natural Coherent Alternative to Value at Risk
type="main" xml:lang="en"> <p>We discuss the coherence properties of expected shortfall (ES) as a financial risk measure. This statistic arises in a natural way from the estimation of the ‘average of the 100% worst losses’ in a sample of returns to a portfolio. Here p is some fixed confidence level. We also compare several alternative representations of ES which turn out to be more appropriate for certain purposes <p>(J.E.L.: G20, C13, C14).
Year of publication: |
2002
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Authors: | Acerbi, Carlo ; Tasche, Dirk |
Published in: |
Economic Notes. - Banca Monte dei Paschi di Siena SpA. - Vol. 31.2002, 2, p. 379-388
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Publisher: |
Banca Monte dei Paschi di Siena SpA |
Saved in:
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