Results 11 to 20 of about 9,555 (255)
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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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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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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Risk Measurement by G-Expected Shortfall [PDF]
Mathematical Problems in Engineering, 2021 G-expected shortfall (G-ES), which is a new type of worst-case expected shortfall (ES), is defined as measuring risk under infinite distributions induced by volatility uncertainty. Compared with extant notions of the worst-case ES, the G-ES can be computed using an explicit formula with low computational cost.
Ziting Pei, Xuhui Wang, Xingye Yue
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Managing Meteorological Risk through Expected Shortfall
Risks, 2020 This paper focuses on weather derivatives as efficient risk management instruments and proposes a more advanced approach for their pricing. An “hybrid” contract is introduced, combining insurance properties, specifically tailored for the region under ...
Silvana Stefani +3 more
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On estimating the conditional expected shortfall [PDF]
Applied Stochastic Models in Business and Industry, 2008 AbstractUnlike the value at risk, the expected shortfall is a coherent measure of risk. In this paper, we discuss estimation of the expected shortfall of a random variable Yt with special reference to the case when auxiliary information is available in the form of a set of predictors Xt.
PERACCHI, FRANCO, Tanase, AV
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Optimisasi Portofolio Expected Shortfall Pada Saham Sektor Energi dan Pertambangan
Kubik, 2020 Saham sebagai salah satu produk investasi di pasar modal Indonesia tentunya memiliki risiko yang dapat memengaruhi keputusan investor dalam berinvestasi, dalam menentukan risiko dapat dilakukan dengan melihat diversifikasi portofolio dari beberapa saham.
Nurul Fadilah +2 more
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Climate value at risk and expected shortfall for Bitcoin market
Climate Risk Management, 2021 The economic risk of the carbon footprint of the Bitcoin network remains unexplored. We develop the real-time artificial price for the carbon footprint of the Bitcoin network and thereby extend the climate value at risk (VaR) into the climate expected ...
Lu Yang, Haifeng Xu
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Performance Evaluation of Systemic Risk Measures in Tehran Stock Exchange [PDF]
راهبرد مدیریت مالیAfter the 2008 financial crisis, the importance of studying systemic risk became more apparent. In this regard, various metrics have been presented to measure systemic risk, but the main question is which metric has a better and more comprehensive ...
Mohammad Azad +3 more
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Expected Shortfall and Beyond [PDF]
Journal of Banking & Finance, 2002 Financial institutions have to allocate so-called "economic capital" in order to guarantee solvency to their clients and counter parties. Mathematically speaking, any methodology of allocating capital is a "risk measure", i.e. a function mapping random variables to the real numbers.
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