Economic Notes · 2002 · 565 citations · 7 references
ManagementFinanceRisk ManagementFinancial EconomicsFinancial Risk ManagementQuantitative FinanceFinancial RiskPortfolio TheoryRisk MeasurementRisk Of LossRisk-return AnalysisValue At RiskCoherence PropertiesConfidence LevelExpected ShortfallExpected Shortfall EstimationPortfolio Value At RiskRisk Measure TheoryRisk-return Tradeoff Analysis
Expected shortfall is defined as the average of the worst losses at a fixed confidence level, naturally arising from portfolio return samples. The paper examines the coherence properties of expected shortfall as a risk measure and compares alternative representations suitable for different regulatory contexts. The authors compare several alternative representations of expected shortfall, highlighting which are more appropriate for specific regulatory purposes.
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 level. We also compare several alternative representations of ES which turn out to be more appropriate for certain purposes (J.E.L.: G20, C13, C14).
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Philippe Artzner, Freddy Delbaen, Jean‐Marc Eber et al. · Mathematical Finance · 1999 · 9K citations · Full text
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Conditional value-at-risk: optimization algorithms and applications
Stan Uryasev · 2002 · 376 citations
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Expected Shortfall as a Tool for Financial Risk Management
Carlo Acerbi, Claudio Nordio, Carlo Sirtori · ArXiv.org · 2001 · 159 citations · Full text
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