Expected shortfall and beyond

CREDIT PORTFOLIO RISK: Shortfall: a tall of two parts - The authors show that the expected shortfall, when used in the conditional independence framework, has an elegant decomposition into systematic (risk-factor-driven) and unsystematic parts. The theory is compared and contrasted with the well-known, and analogous, decomposition for variance.

Martin, Richard, (2007)

Expected Shortfall: A Natural Coherent Alternative to Value at Risk

Acerbi, Carlo, (2002)

On the coherence of expected shortfall

Acerbi, Carlo, (2002)