Year: 2002
Type: article
Abstract: 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).
Source: Economic Notes
Authors: Carlo Acerbi, Dirk Tasche
Language: English
Field: Decision Sciences
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W2166362129