Expected Shortfall as a Tool for Financial Risk Management
Statistical Mechanics
2008-12-02 v1 Risk Management
Abstract
We study the properties of Expected Shortfall from the point of view of financial risk management. This measure --- which emerges as a natural remedy in some cases where Value at Risk (VaR) is not able to distinguish portfolios which bear different levels of risk --- is indeed shown to have much better properties than VaR. We show in fact that unlike VaR this variable is in general subadditive and therefore it is a Coherent Measure of Risk in the sense of reference (artzner)
Cite
@article{arxiv.cond-mat/0102304,
title = {Expected Shortfall as a Tool for Financial Risk Management},
author = {Carlo Acerbi and Claudio Nordio and Carlo Sirtori},
journal= {arXiv preprint arXiv:cond-mat/0102304},
year = {2008}
}
Comments
10 pages