Concepedia

Expected Shortfall Estimation

Expected Shortfall Estimation is a statistical inference method within order statistics that quantifies the average loss exceeding a specified quantile threshold, distinguishing itself by focusing on tail risk beyond the Value-at-Risk level.

110

Publications

6.1K

Citations

190

Authors

200

Institutions

Publications per year

2017–2026

31

Parents

Publications

110

Expected Shortfall: A Natural Coherent Alternative to Value at Risk

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

, , +16

COHERENCE AND ELICITABILITY

Johanna F. Ziegel · Mathematical Finance · 2014 · 365 citations · Full text

, , +13

Estimating Value at Risk and Expected Shortfall Using Expectiles

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

, , +17

Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall

Olivier Scaillet · Mathematical Finance · 2003 · 282 citations · Full text

, , +17

Dynamic semiparametric models for expected shortfall (and Value-at-Risk)

Andrew J. Patton, Johanna F. Ziegel, Rui Chen · Journal of Econometrics · 2019 · 268 citations

, , +17

1–5 of 110

Authors

190

  1. JF
    Johanna F. Ziegel

    University of Bern, Switzerland

    7 publications · 914 citations

    7

    h-index

  2. OS
    Olivier Scaillet

    University of Geneva, Switzerland

    5 publications · 464 citations

    5

    h-index

  3. JW
    James W. Taylor

    University of Wisconsin–Madison, United States

    4 publications · 244 citations

    4

    h-index

  4. RG
    Richard Gerlach

    The University of Sydney, Australia

    3 publications · 140 citations

    3

    h-index

  5. KY
    Keming Yu

    Brunel University of London, United Kingdom

    3 publications · 67 citations

    3

    h-index

1–5 of 190

Institutions

200

  1. University of Oxford

    Oxford, United Kingdom

    5 h-index

    5 publications

    556 citations

  2. University of Bern

    Bern, Switzerland

    5 h-index

    6 publications

    747 citations

  3. University of Geneva

    Geneva, Switzerland

    4 h-index

    4 publications

    378 citations

  4. Centre de Recherche en Économie et Statistique

    Palaiseau, France

    4 h-index

    4 publications

    132 citations

  5. Delft University of Technology

    Delft, The Netherlands

    4 h-index

    5 publications

    183 citations

  6. Tinbergen Institute

    Rotterdam, The Netherlands

    4 h-index

    4 publications

    171 citations

  7. Université Grenoble Alpes

    Saint-Martin-d'Hères, France

    3 h-index

    5 publications

    280 citations

  8. Duke University

    Durham, United States

    3 h-index

    6 publications

    668 citations

1–8 of 200

Venues

  1. SSRN Electronic Journal

    Repository · 13 publications · 460 citations

    11

    h-index

  2. Journal of Financial Econometrics

    9 publications · 803 citations

    9

    h-index

  3. Quantitative Finance

    6 publications · 217 citations

    6

    h-index

  4. Mathematical Finance

    3 publications · 666 citations

    3

    h-index

  5. Econometric Theory

    3 publications · 138 citations

    3

    h-index

1–5