Expected Shortfall: a natural coherent alternative to Value at Risk

Details Expected Shortfall: a natural coherent alternative to Value at Risk Expected Shortfall: a natural coherent alternative to Value at Risk

2001-05-09

arxiv.org/abs/cond-mat/0105191v1

Physics

Condensed Matter

Statistical Mechanics

to be published on "Wilmott Magazine" (http://www.wilmott.com)

Scientific paper

We discuss the coherence properties of Expected Shortfall (ES) as a financial risk measure. This statistic arises in a natural way from the estimation of the "average of the 100p % worst losses" in a sample of returns to a portfolio. Here p is some fixed confidence level. We also compare several alternative representations of ES which turn out to be more appropriate for certain purposes.

Affiliated with

Also associated with

No associations

Rating

Expected Shortfall: a natural coherent alternative to Value at Risk does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Expected Shortfall: a natural coherent alternative to Value at Risk, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Expected Shortfall: a natural coherent alternative to Value at Risk will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-20479