Results 231 to 240 of about 9,183 (262)

Unexpected shortfalls of Expected Shortfall: Extreme default profiles and regulatory arbitrage

Journal of Banking & Finance, 2016
Abstract The purpose of this paper is to dispel some common misunderstandings about capital adequacy rules based on Expected Shortfall. We establish that, from a theoretical perspective, Expected Shortfall based regulation can provide a misleading assessment of tail behavior, does not necessarily protect liability holders’ interests much better than ...
Koch-Medina, Pablo, Munari, Cosimo
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Risk management with expected shortfall

Mathematics and Financial Economics, 2021
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Estimation of Expected Shortfall

Advances in Economics, Management and Political Sciences
Our paper emphasizes on estimating extreme losses caused by heavy-tail behaviour of financial data by the indicator of expected shortfall as well as underlying the significance of using appropriate modeling methods. It is common that most research assumes financial data to follow a normal distribution, but this is generally not the case as many ...
Rongqian Ye, Jingkuo Hou, Muchen Luan
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Local Expected Shortfall-Hedging in Discrete Time

Review of Finance, 2003
Abstract This paper proposes a self-financing trading strategy that minimizes the expected shortfall locally when hedging a European contingent claim. A positive shortfall occurs if the hedger is not willing to follow a perfect hedging or a superhedging strategy.
Schulmerich, Marco, Trautmann, Siegfried
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Approximating expected shortfall for heavy-tailed distributions

Econometrics and Statistics, 2018
A saddlepoint approximation for evaluating the expected shortfall of financial returns under realistic distributional assumptions is derived. This addresses a need that has arisen after the Basel Committee’s proposed move from Value at Risk to expected shortfall as the mandated risk measure in its market risk framework.
Broda, Simon A, Krause, Jochen, Paolella, Marc S   +2 more
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Estimation methods for expected shortfall

Quantitative Finance, 2013
Introduced in the 1980s, value at risk has been a popular measure of financial risk. However, value at risk suffers from a number of drawbacks as measure of financial risk. An alternative measure referred to as expected shortfall was introduced in late 1990s to circumvent these drawbacks. Much theory have been developed since then.
Saralees Nadarajah, Bo Zhang, Stephen Chan   +2 more
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Equilibrium Analysis of Expected Shortfall

SSRN Electronic Journal, 2017
This article studies optimal, dynamic portfolio and wealth/consumption policies of expected utility maximizing investors who must also manage market-risk exposure which is measured by Expected Shortfall (ES). We find that ES managers can incur larger losses when losses occur, compared to both VaR and benchmark managers.
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Integrative oncology: Addressing the global challenges of cancer prevention and treatment

Ca-A Cancer Journal for Clinicians, 2022
Jun J Mao,, Msce, Lorenzo Cohen, Karen M Mustian   +2 more
exaly  

Expectations Shortfall

Financial Analysts Journal, 2006
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Expectile Linked Expected Shortfall Bounds

SSRN Electronic Journal, 2023
Alejandro Balbás, Beatriz Balbás, Raquel Balbás   +2 more
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