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Expected shortfall
Known as:
Conditional value at risk
, Expected
, ES
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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 measure
Discounted maximum loss
Distortion risk measure
Entropic risk measure
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Papers overview
Semantic Scholar uses AI to extract papers important to this topic.
2018
2018
Modeling risk and uncertainty in designing reverse logistics problem
A. Gooran
,
H. Rafiei
,
M. Rabani
2018
Corpus ID: 157156709
Article history: Received September 16, 2016 Received in revised format: October 22, 2016 Accepted May 1, 2017 Available online…
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2016
2016
Optimal economic load dispatch based on wind energy and risk constrains through an intelligent algorithm
Sina Ghaffari
,
G. Aghajani
,
A. Noruzi
,
Hadi Hedayati Mehr
Complex
2016
Corpus ID: 33150126
This article focus on optimal economic load dispatch based on an intelligent method of shark smell optimization (SSO). In this…
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2010
2010
Modeling Risk Management in Oligopolistic Electricity Markets: A Benders Decomposition Approach
Jordi Cabero
,
M. Ventosa
,
S. Cerisola
,
Á. Baíllo
IEEE Transactions on Power Systems
2010
Corpus ID: 38121721
This paper presents a model for addressing the market risk management problem faced by a hydrothermal generation company trading…
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2009
2009
Estimating expected shortfall with stochastic kriging
Ming Liu
,
J. Staum
Online World Conference on Soft Computing in…
2009
Corpus ID: 8961551
We present an efficient two-level simulation procedure which uses stochastic kriging, a metamodeling technique, to estimate…
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2009
2009
Analysis of the factors influencing momentum profits
Almira Biglova
,
S. Rachev
,
Stoyan Stoyanov
,
S. O. Lozza
2009
Corpus ID: 22486664
In this paper, we provide further insight into the stock return momentum phenomena by investigating the sources of momentum…
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2008
2008
Robust Portfolio Optimization Using Conditional Value At Risk Final Report
Wei Ning Cho
2008
Corpus ID: 168240488
In this report, we propose a worst-case robust multi-period portfolio optimization model using conditional value at risk. We use…
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2008
2008
Nuevas Herramientas para la Administración del Riesgo Crediticio: El caso de una Cartera Crediticia Ecuatoriana [New Management Tool for Credit Risk analysis: An aplication for Financial Institution…
D. Maldonado
,
M. Pazmiño
2008
Corpus ID: 150968765
In the present document it is exposed in an abstract way the models of credit portfolioes CreditMetricsTM, KMV, CreditRisk…
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2008
2008
An estimation-free, robust conditional value-at-risk portfolio allocation model
Carlos Jabbour
,
Javier F. Peña
,
Juan C. Vera
,
L. Zuluaga
2008
Corpus ID: 158057345
We propose a novel optimization model for risk-averse investors to obtain robust solutions for portfolio allocation problems…
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2003
2003
RISK BALANCING STRATEGIES IN THE FLORIDA DAIRY INDUSTRY: AN APPLICATION OF CONDITIONAL VALUE AT RISK
M. Zylstra
,
R. Kilmer
,
S. Uryasev
2003
Corpus ID: 166293739
Legislation has prompted changes in milk price volatility. Milk price volatility impacts the producer's exposure to business risk…
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1981
1981
Grammaire de la langue avar (langue du Caucase Nord-Est)
G. Charachidzé
1981
Corpus ID: 190019132
Systeme phonologique. Classes nominales. Morphologie du nom. Determinants. Morphologie verbale. Systeme des temps. Syntaxe…
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