Expected Shortfall: a natural coherent alternative to Value at Risk
Statistical Mechanics
2013-12-31 v1 Risk Management
Abstract
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.
Keywords
Cite
@article{arxiv.cond-mat/0105191,
title = {Expected Shortfall: a natural coherent alternative to Value at Risk},
author = {Carlo Acerbi and Dirk Tasche},
journal= {arXiv preprint arXiv:cond-mat/0105191},
year = {2013}
}
Comments
to be published on "Wilmott Magazine" (http://www.wilmott.com)