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The Migration-Mortality Hypothesis Requires Reproductive Compensation Not in Evidence. [PDF]

Insects
Thogmartin WE.
europepmc   +1 more source

COP30: still failing to meet the challenge. [PDF]

Lancet Reg Health Eur
The Lancet Regional Health-Europe.
europepmc   +1 more source

Expected Shortfall or Median Shortfall

Journal of Financial Engineering, 2014
In a recent consultative document, the Basel Committee on Banking Supervision suggests replacing Value-at-Risk (VaR) by expected shortfall (ES) for setting capital requirements for banks' trading books because ES better captures tail risk than VaR. However, besides ES, another risk measure called median shortfall (MS) also captures tail risk by taking
Xianhua Peng, Steven Kou
exaly   +4 more sources

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Backtesting Expected Shortfall and Beyond

Quantitative Finance, 2021
We conduct a comprehensive study of the performance of leading backtesting procedures for expected shortfall. The tests differ in their analytical complexity, stability over different models, sensitivity to the sample sizes (both estimation and backtesting), and computational burden.
Kaihua Deng, Jie Qiu
exaly   +2 more sources

Expected Shortfall: Heuristics and Certificates

European Journal of Operational Research, 2018
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Marco C Campi, Federico Alessandro Ramponi   +1 more
exaly   +4 more sources

An asymptotic study of systemic expected shortfall and marginal expected shortfall

Insurance: Mathematics and Economics, 2022
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Yiqing Chen, Jiajun Liu
openaire   +2 more sources

Bayes Risk, Elicitability, and the Expected Shortfall

SSRN Electronic Journal, 2020
Abstract Motivated by recent advances on elicitability of risk measures and practical considerations of risk optimization, we introduce the notions of Bayes pairs and Bayes risk measures. Bayes risk measures are the counterpart of elicitable risk measures, extensively studied in the recent literature.
Paul Embrechts, Tiantian Mao, Qiuqi Wang, Ruodu Wang   +3 more
openaire   +2 more sources