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Dynamic Asset Allocation with Expected Shortfall via Quantum Annealing [PDF]
Entropy, 2023 Recent advances in quantum hardware offer new approaches to solve various optimization problems that can be computationally expensive when classical algorithms are employed.
Hanjing Xu +3 more
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Adjusted Expected Shortfall [PDF]
SSRN Electronic Journal, 2020 We introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by simultaneously controlling the expected losses associated with different portions of the tail distribution. The corresponding adjusted Expected Shortfalls quantify risk as the minimum amount of capital that has to be raised and injected into ...
Matteo Burzoni +2 more
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Seven Proofs for the Subadditivity of Expected Shortfall
Dependence Modeling, 2015 Abstract Subadditivity is the key property which distinguishes the popular risk measures Value-at-Risk and Expected Shortfall (ES). In this paper we offer seven proofs of the subadditivity of ES, some found in the literature and some not.
Embrechts Paul, Wang Ruodu
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A Simple Traffic Light Approach to Backtesting Expected Shortfall
Risks, 2018 We propose a Traffic Light approach to backtesting Expected Shortfall which is completely consistent with, and analogous to, the Traffic Light approach to backtesting VaR (Value at Risk) initially proposed by the Basel Committee on Banking Supervision in
Nick Costanzino, Michael Curran
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On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles
Risks, 2018 This article reviews two leading measures of financial risk and an emerging alternative. Embraced by the Basel accords, value-at-risk and expected shortfall are the leading measures of financial risk.
James Ming Chen
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Nonlinear AnalysisThe paper considers the asymptotics of the systemic expected shortfall (SES) and the marginal expected shortfall (MES) in systemic risks. We mainly consider individual losses to be the products of primary variables and random weights, where a dependence
Xiaowen Shen, Kaiyong Wang, Yuan Xie
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Model Risk of Expected Shortfall [PDF]
Journal of Banking and Finance, 2019 In this paper we propose to measure the model risk of Expected Shortfall as the optimal correction needed to pass several ES backtests, and investigate the properties of our proposed measures of model risk from a regulatory perspective. Our results show that for the DJIA index, the smallest corrections are required for the ES estimates built using ...
Ning Zhang, Emese Lazar
exaly +2 more sources
Investigating the Effects of Strength of Corporate Governance Mechanisms on Systemic Risk for Financial Institutions Listed on Tehran Stock Exchange [PDF]
تحقیقات مالی, 2020 Objective: The systemic risk is the risk of a crisis in the financial sector and its transmission to the economy. Due to the importance of social damage caused by the financial crisis, it is necessary to pay attention to the systemic risk and its factors.
Vali Nadi Qomi +2 more
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On the coherence of expected shortfall [PDF]
Journal of Banking & Finance, 2002 Expected Shortfall (ES) in several variants has been proposed as remedy for the defi-ciencies of Value-at-Risk (VaR) which in general is not a coherent risk measure. In fact, most definitions of ES lead to the same results when applied to continuous loss distributions.
Carlo Acerbi, Dirk Tasche
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Change-point detection for expected shortfall in time series
Journal of Management Science and Engineering, 2021 Expected shortfall (ES) is a popular risk measure and plays an important role in risk and portfolio management. Recently, change-point detection of risk measures has been attracting much attention in finance.
Lingyu Sun, Dong Li
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