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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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2017
2017
Risk-constrained offering strategies for a price-maker demand response aggregator
M. Abbasi
,
Amin Rajabi
,
+4 authors
M. J. Ghadi
International Conference on Electrical Machines…
2017
Corpus ID: 29418596
Offering strategy of a price-maker demand response aggregator (DRA) in a two-settlement market is presented in this paper. The…
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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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2014
2014
The Avar conquest and what followed. Some ideas on the process of ‘avarisation’ of Transylvanian Basin (6th‒7th centuries)
Erwin Gáll
2014
Corpus ID: 131306889
2010
2010
Local stability and differentiability of the Mean-Conditional Value at Risk model defined on the mixed-integer loss functions
Martin Branda
Kybernetika (Praha)
2010
Corpus ID: 16752895
In this paper, we study local stability of the mean-risk model with Conditional Value at Risk measure where the mixed-integer…
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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
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
Robust Portfolio Optimization Using Conditional Value At Risk Final Report
Ning-Cho Wei
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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1984
1984
Tolna megyei avar temetők
G. Kiss
,
Péter Somogyi
1984
Corpus ID: 165679836