Acerbi, Carlo; Tasche, Dirk - In: Economic Notes 31 (2002) 2, pp. 379-388
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...</p>