Concepedia

Expected Shortfall

Expected Shortfall is a risk measure that belongs to the class of coherent risk metrics, specifically defined as the conditional expected loss given that the loss exceeds the value-at-risk threshold at a specified confidence level.

284

Publications

18.1K

Citations

476

Authors

390

Institutions

Publications per year

2017–2026

95

Variants

Conditional Value-at-riskCvarExpected Tail LossTail Value-at-riskTvar

Parents

Publications

284

Measuring Systemic Risk

Viral V. Acharya, Lasse Heje Pedersen, Thomas Philippon et al. · Review of Financial Studies · 2016 · 1.8K citations · Full text

, , +17

On the coherence of expected shortfall

Carlo Acerbi, Dirk Tasche · Journal of Banking & Finance · 2002 · 1.6K citations

, , +17

Expected Shortfall: A Natural Coherent Alternative to Value at Risk

Carlo Acerbi, Dirk Tasche · Economic Notes · 2002 · 565 citations · Full text

, , +16

The number of ophthalmologists in practice and training worldwide: a growing gap despite more than 200 000 practitioners

Serge Resnikoff, William Campbell Felch, Tina-Marie Gauthier et al. · British Journal of Ophthalmology · 2012 · 412 citations

, , +8

Expected shortfall and beyond

Dirk Tasche · Journal of Banking & Finance · 2002 · 411 citations

, , +5

1–5 of 284

Authors

476

  1. RW
    Ruodu Wang

    University of Waterloo, Canada

    9 publications · 440 citations

    9

    h-index

  2. JF
    Johanna F. Ziegel

    University of Bern, Switzerland

    7 publications · 914 citations

    7

    h-index

  3. OS
    Olivier Scaillet

    University of Geneva, Switzerland

    6 publications · 516 citations

    6

    h-index

  4. VV
    Viral V. Acharya

    New York University, United States

    6 publications · 2.1K citations

    6

    h-index

  5. DT
    Dirk Tasche

    Deutsche Bundesbank, Germany

    6 publications · 2.6K citations

    6

    h-index

1–5 of 476

Institutions

390

  1. New York University

    New York, United States

    11 h-index

    11 publications

    2.2K citations

  2. University of Waterloo

    Waterloo, Canada

    10 h-index

    11 publications

    470 citations

  3. University of Oxford

    Oxford, United Kingdom

    9 h-index

    9 publications

    921 citations

  4. National Bureau of Economic Research

    Cambridge, United States

    9 h-index

    9 publications

    353 citations

  5. Swiss Finance Institute

    Zurich, Switzerland

    9 h-index

    9 publications

    393 citations

  6. Centre for Economic Policy Research

    London, United Kingdom

    6 h-index

    6 publications

    239 citations

  7. The University of Sydney

    Sydney, Australia

    6 h-index

    6 publications

    203 citations

  8. Centre National de la Recherche Scientifique

    Paris, France

    5 h-index

    5 publications

    139 citations

1–8 of 390

Venues

  1. SSRN Electronic Journal

    Repository · 49 publications · 1.4K citations

    21

    h-index

  2. Journal of Banking & Finance

    13 publications · 2.9K citations

    13

    h-index

  3. Quantitative Finance

    12 publications · 702 citations

    11

    h-index

  4. Journal of Financial Econometrics

    11 publications · 1.1K citations

    11

    h-index

  5. Mathematical Finance

    7 publications · 770 citations

    7

    h-index

1–5