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Expected shortfall

Known as: Conditional value at risk, Expected, ES 
Expected shortfall (ES) is a risk measure—a concept used in the field of financial risk measurement to evaluate the market risk or credit risk of a… Expand
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Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
2010
2010
We use stochastic kriging, a metamodeling technique, to speed up nested simulation of expected shortfall, a portfolio risk… Expand
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Highly Cited
2008
Highly Cited
2008
We propose exponentially weighted quantile regression (EWQR) for estimating time-varying quantiles. The EWQR cost function can be… Expand
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Highly Cited
2007
Highly Cited
2007
The expected shortfall is an increasingly popular risk measure in financial risk management and it possesses the desired sub… Expand
Highly Cited
2007
Highly Cited
2007
Expectile models are derived using asymmetric least squares. A simple formula has been presented that relates the expectile to… Expand
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Highly Cited
2005
Highly Cited
2005
Value-at-Risk (VaR) has become a standard risk measure for financial risk management. However, many authors claim that there are… Expand
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Highly Cited
2005
Highly Cited
2005
Abstract This article shows that any coherent risk measure is given by a convex combination of expected shortfalls, and an… Expand
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Highly Cited
2004
Highly Cited
2004
We consider a nonparametric method to estimate the expected shortfall—that is, the expected loss on a portfolio of financial… Expand
Highly Cited
2004
Highly Cited
2004
We consider a nonparametric method to estimate conditional expected shortfalls, i.e. conditional expected losses knowing that… Expand
Highly Cited
2002
Highly Cited
2002
We compare expected shortfall with value-at-risk (VaR) in three aspects: estimation errors, decomposition into risk factors, and… Expand
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Highly Cited
2001
Highly Cited
2001
Fundamental properties of conditional value-at-risk (CVaR), as a measure of risk with significant advantages over value-at-risk… Expand
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