Expected shortfall

Known as: Conditional value at risk, CVaR, Expected Tail Loss 
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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Topic mentions per year

Topic mentions per year

1996-2017
05010019962017

Papers overview

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2010
2010
We present a computationally efficient simulation procedure for point estimation of expected shortfall. The procedure applies… (More)
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2009
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
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
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
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
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
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
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
Abstract. Financial institutions have to allocate so-called economic capital in order to guarantee solvency to their clients and… (More)
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