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… (More)

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2010

2010

- Ming Liu, Barry L. Nelson, Jeremy Staum
- Proceedings of the 2010 Winter Simulation…
- 2010

We present a computationally efficient simulation procedure for point estimation of expected shortfall. The procedure applies… (More)

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2009

2009

- Ming Liu, Jeremy Staum
- Proceedings of the 2009 Winter Simulation…
- 2009

We present an efficient two-level simulation procedure which uses stochastic kriging, a metamodeling technique, to estimate… (More)

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2008

2008

- CEIS Tor Vergata, Franco Peracchi, Andrei V. Tanase, Karim Abadir, Raffaello Seri, Frank A. Vella
- 2008

Unlike the value at risk, the expected shortfall is a coherent measure of risk. In this paper, we discuss estimation of the… (More)

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2006

2006

- Hisashi Kashima
- SDM
- 2006

A new approach for cost-sensitive classification is proposed. We extend the framework of cost-sensitive learning to mitigate… (More)

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2005

2005

- Tom Fischer, Armin Röhrl
- 2005

We explain how to optimize portfolios with respect to RORAC and RORC based on Expected Shortfall. Recent results from the… (More)

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2004

2004

- Song Xi Chen, Song Xi Chen
- 2004

The paper evaluates the properties of nonparametric estimators of the expected shortfall, an increasingly popular risk measure in… (More)

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2003

2003

- MARCO SCHULMERICH, Siegfried Trautmann
- 2003

This paper proposes a self-financing trading strategy that minimizes the expected shortfall locally when hedging a European… (More)

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2002

2002

In the first part of this paper we address the non-coherence of value-at-risk (VaR) as a risk measure in the context of portfolio… (More)

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Highly Cited

2001

Highly Cited

2001

- Carlo Acerbi, Dirk Tasche
- 2001

Expected Shortfall (ES) in several variants has been proposed as remedy for the deficiencies of Value-at-Risk (VaR) which in… (More)

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Highly Cited

2001

Highly Cited

2001

- Dirk Tasche
- 2001

Abstract. Financial institutions have to allocate so-called economic capital in order to guarantee solvency to their clients and… (More)

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