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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… 
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Related topics

Related topics

11 relations
Coherent risk measureDiscounted maximum lossDistortion risk measureEntropic risk measure

Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
2014
2014
Impacts of Time-Varying Electricity Rates on Forward Contract Scheduling of DisCos
Time-varying electricity rates enable demand-side potentials, which provide an opportunity for distribution companies (DisCos) to… 
2011
2011
Sudden changes in variance and time varying hedge ratios
Highly Cited
2010
Highly Cited
2010
Weekly Self-Scheduling, Forward Contracting, and Offering Strategy for a Producer
Within a weekly market horizon, this paper considers a power producer that sells its energy both in the pool and through weekly… 
2010
2010
Modeling Risk Management in Oligopolistic Electricity Markets: A Benders Decomposition Approach
This paper presents a model for addressing the market risk management problem faced by a hydrothermal generation company trading… 
2009
2009
Estimating expected shortfall with stochastic kriging
We present an efficient two-level simulation procedure which uses stochastic kriging, a metamodeling technique, to estimate… 
2008
2008
Robust Portfolio Optimization Using Conditional Value At Risk Final Report
In this report, we propose a worst-case robust multi-period portfolio optimization model using conditional value at risk. We use… 
2007
2007
Efficient calculation of expected shortfall contributions in large credit portfolios
In the framework of a standard structural credit portfolio model, we investigate the Monte Carlo based estimation of capital… 
2004
2004
A Note on the Estimation of the Frequency and Severity Distribution of Operational Losses
The Basel II Capital Accord requires banks to determine the capital charge to account for operational losses. Compound Poisson… 
2004
2004
The computation of the worst conditional expectation
Highly Cited
2002
Highly Cited
2002
Comparative Analyses of Expected Shortfall and Value-at-Risk (2): Expected Utility Maximization and Tail Risk
We compare expected shortfall and value-at-risk (VaR) in terms of consistency with expected utility maximization and elimination… 
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