Expected Shortfall: a natural coherent alternative to Value at Risk

@inproceedings{Acerbi2001ExpectedSA,
  title={Expected Shortfall: a natural coherent alternative to Value at Risk},
  author={C. Acerbi and D. Tasche},
  year={2001}
}
  • C. Acerbi, D. Tasche
  • Published 2001
  • Economics, Physics
  • 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 100p % 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. 
    512 Citations
    Modified Expected Shortfall: A New Robust Coherent Risk Measure
    • 9
    Instability of Portfolio Optimization under Coherent Risk Measures
    • 17
    • PDF
    Measuring financial risk : comparison of alternative procedures to estimate VaR and ES
    • 18
    • Highly Influenced
    Estimation and Decomposition of Downside Risk for Portfolios with Non-Normal Returns
    • 102
    • Highly Influenced
    • PDF

    References

    SHOWING 1-10 OF 14 REFERENCES
    Expected Shortfall as a Tool for Financial Risk Management
    • 210
    • PDF
    On the coherence of expected shortfall
    • 1,288
    • PDF
    Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk
    • 732
    • PDF
    Coherent Measures of Risk
    • 7,285
    • PDF
    On the Validity of Value-at-Risk: Comparative Analyses with Expected Shortfall
    • 133
    • PDF
    Conditional value-at-risk: optimization algorithms and applications
    • S. Uryasev
    • Economics, Computer Science
    • Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520)
    • 2000
    • 387
    Conditional Value-at-Risk for General Loss Distributions
    • 881
    • PDF
    Conditional Expectation as Quantile Derivative
    • 65
    • PDF
    Conditional expectation as quantile derivative. Working paper, TU München
    • Conditional expectation as quantile derivative. Working paper, TU München
    • 2000