O ct 2 00 1 On the coherence of Expected Shortfall

@inproceedings{Acerbi2008OC2,
  title={O ct 2 00 1 On the coherence of Expected Shortfall},
  author={Carlo Acerbi and Dirk Tasche},
  year={2008}
}
Expected Shortfall (ES) in several variants has been proposed as remedy for the deficiencies of Value-at-Risk (VaR) which in general is not a coherent risk measure. In fact, most definitions of ES lead to the same results when applied to continuous loss distributions. Differences may appear when the underlying loss distributions have discontinuities. In this case even the coherence property of ES can get lost unless one took care of the details in its definition. We compare some of the… CONTINUE READING