Concepedia

Expected Shortfall Analysis

Expected Shortfall Analysis is a risk measurement framework that quantifies the average loss exceeding a specified confidence threshold in the tail distribution of financial or systemic stress outcomes, distinguishing it from other risk metrics by its focus on conditional tail expectations.

51

Publications

1.9K

Citations

100

Authors

91

Institutions

Publications per year

2017–2026

12

Parents

Publications

51

Estimating Value at Risk and Expected Shortfall Using Expectiles

James W. Taylor · Journal of Financial Econometrics · 2007 · 312 citations

, , +17

VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights

Rüdiger Frey, Alexander J. McNeil · Journal of Banking & Finance · 2002 · 188 citations

, , +12

On the Validity of Value-at-Risk: Comparative Analyses with Expected Shortfall

Yasuhiro Yamai, Toshinao Yoshiba · Monetary and and Economic Studies · 2002 · 133 citations

, , +16

EXTREME VALUE THEORY IN FINANCE: A SURVEY

Marco Rocco · Journal of Economic Surveys · 2013 · 105 citations

, , +17

Backtesting trading risk of commercial banks using expected shortfall

Woon K. Wong · Journal of Banking & Finance · 2007 · 88 citations

, , +14

1–5 of 51

Authors

100

  1. NC
    Nick Costanzino

    New York University, United States

    3 publications · 78 citations

    3

    h-index

  2. MC
    Mike Curran

    New York University, United States

    3 publications · 78 citations

    3

    h-index

  3. PS
    Paulo Sérgio Ceretta

    Universidade Federal de Santa Maria, Brazil

    2 publications · 35 citations

    2

    h-index

  4. RM
    Raimond Maurer

    Goethe University Frankfurt, Germany

    2 publications · 63 citations

    2

    h-index

  5. MB
    Marcelo Brutti Righi

    Universidade Federal do Rio Grande do Sul, Brazil

    2 publications · 35 citations

    2

    h-index

1–5 of 100

Institutions

91

  1. University of Oxford

    Oxford, United Kingdom

    3 h-index

    3 publications

    356 citations

  2. Centre National de la Recherche Scientifique

    Paris, France

    2 h-index

    2 publications

    92 citations

  3. University of Münster

    Münster, Germany

    2 h-index

    2 publications

    51 citations

  4. HEC Montréal

    Montreal, Canada

    2 h-index

    4 publications

    74 citations

  5. New York University

    New York, United States

    2 h-index

    2 publications

    39 citations

  6. Radboud University Nijmegen

    Nijmegen, The Netherlands

    2 h-index

    2 publications

    51 citations

  7. London School of Economics and Political Science

    London, United Kingdom

    2 h-index

    2 publications

    43 citations

  8. Université Grenoble Alpes

    Saint-Martin-d'Hères, France

    2 h-index

    4 publications

    149 citations

1–8 of 91

Venues

  1. SSRN Electronic Journal

    Repository · 12 publications · 236 citations

    10

    h-index

  2. Journal of Banking & Finance

    3 publications · 336 citations

    3

    h-index

  3. Applied Economics

    2 publications · 43 citations

    2

    h-index

  4. Quantitative Finance

    2 publications · 43 citations

    2

    h-index

  5. Economic Modelling

    2 publications · 27 citations

    2

    h-index

1–5