Burzoni, Matteo; Munari, Cosimo-Andrea; Wang, Ruodu - 2020
We introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by … position X to ensure that Expected Shortfall ES<sub>p</sub>(X) does not exceed a pre-specified threshold g(p) for every … application of interest. We devote special attention to the study of risk profiles defined by the Expected Shortfall of a …