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  • Search: subject:"sensitivity of ES"
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Value-at-Risk 1 back-testing 1 capital allocation 1 elliptical family 1 expected shortfall 1 exponential family 1 optimal weighting 1 partial moment 1 risk management 1 sensitivity of ES 1
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Albert S. "Pete" Kyle 1 John Seater 1 Lu, Na 1 Marc Genton 1 Peter Bloomfield 1 Sastry Pantula 1
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Statistical Issues in Coherent Risk Management
Lu, Na - 2004
Measuring risk is a crucial aspect of the portfolio optimization problem in finance, and of capital adequacy assessment in risk management. Expected Shortfall (ES) has been proposed as a coherent risk measure, by contrast with Value-at-Risk (VaR) and the standard-deviation-type of measures....
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