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  • Search: subject:"Adjusted Expected Shortfall"
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Adjusted Expected Shortfall 1 Bank risk 1 Bankrisiko 1 Capital Adequacy 1 Convex Risk Measures 1 Measurement 1 Messung 1 Optimization With Risk Measures 1 Portfolio selection 1 Portfolio-Management 1 Risiko 1 Risikomanagement 1 Risikomaß 1 Risk 1 Risk management 1 Risk measure 1 Stochastic Dominance 1 Tail Risk 1 Theorie 1 Theory 1
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Free 1
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Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
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English 1
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Burzoni, Matteo 1 Munari, Cosimo-Andrea 1 Wang, Ruodu 1
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Research paper series / Swiss Finance Institute 1
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Adjusted expected shortfall
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 simultaneously controlling the expected losses associated with different portions of the tail distribution. The corresponding adjusted Expected Shortfalls quantify risk as the minimum...
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