On the coherence of expected shortfall (2002)
Expected Shortfall (ES) in several variants has been proposed as remedy for the deficiencies of Value-at-Risk (VaR) which in general is not a coherent risk measure. In fact, most definitions of ES...
Expected Shortfall: a natural coherent alternative to Value at Risk (2002)
We discuss the coherence properties of Expected Shortfall (ES) as a nancial risk measure. This statistic arises in a natural way from the estimation of the \average of the 100p% worst losses...
On the coherence of expected shortfall (2002)
Expected Shortfall (ES) in several variants has been proposed as remedy for the de-ciencies of Value-at-Risk (VaR) which in general is not a coherent risk measure. In fact, most denitions of ES lead...
Expected Shortfall: a natural coherent alternative to Value at Risk (2002)
We discuss the coherence properties of Expected Shortfall (ES) as a financial risk measure. This statistic arises in a natural way from the estimation of the “average of the 100p% worst losses ”...
On the coherence of expected shortfall (2002)
1 Introduction Value-at-Risk (VaR) as a risk measure is heavily criticized for not being sub-additive (see [7] for an overview of the criticism). This means that the risk of a portfolio can be larger...
On the coherence of expected shortfall (2002)
Dirk Tasche, Risklab Switzerland, Eth Zürich, Carlo Acerbi, Abaxbank Milano
• Value-at-Risk versus “coherent risk measure” • Worst conditional expectation and tail conditional expectation as alternatives • Expected shortfall and its elementary properties •...
Expected Shortfall: a natural coherent alternative to Value at Risk (2002)
Abstract We discuss the coherence properties of Expected Shortfall (ES) as a financial risk measure. This statistic arises in a natural way from the estimation of the "average of the 100p %...
On the coherence of expected shortfall (2002)
Expected Shortfall (ES) in several variants has been proposed as remedy for the deficiencies of Value-at-Risk (VaR) which in general is not a coherent risk measure. In fact, most definitions of ES...
On the coherence of expected shortfall (2002)
Dirk Tasche, Risklab Switzerland, Eth Zürich, Carlo Acerbi, Abaxbank Milano
i • Value-at-Risk versus “coherent risk measure” • Worst conditional expectation and tail conditional expectation as alternatives • Expected shortfall and its elementary properties •...
Risk Aversion and Coherent Risk Measures: a Spectral Representation Theorem (2001)
We study a space of coherent risk measures M_phi obtained as certain expansions of coherent elementary basis measures. In this space, the concept of ``Risk Aversion Function'' phi naturally arises as...
Expected Shortfall: a natural coherent alternative to Value at Risk (2001)
We discuss the coherence properties of Expected Shortfall (ES) as a financial risk measure. This statistic arises in a natural way from the estimation of the "average of the 100p % worst losses" in a...
On the coherence of Expected Shortfall (2001)
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...
Expected Shortfall as a Tool for Financial Risk Management (2001)
Acerbi, Carlo, Nordio, Claudio, Sirtori, Carlo
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...
Liquidity risk theory and coherent measures of risk
Carlo Acerbi, Giacomo Scandolo
We discuss liquidity risk from a pure risk-theoretical point of view in the axiomatic context of coherent measures of risk. We propose a formalism for liquidity risk that is compatible with the...
On the coherence of Expected Shortfall
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...
Expected Shortfall: a natural coherent alternative to Value at Risk
We discuss the coherence properties of Expected Shortfall (ES) as a financial risk measure. This statistic arises in a natural way from the estimation of the "average of the 100p % worst losses" in a...
Risk Aversion and Coherent Risk Measures: a Spectral Representation Theorem
We study a space of coherent risk measures M_phi obtained as certain expansions of coherent elementary basis measures. In this space, the concept of ``Risk Aversion Function'' phi naturally arises as...
Expected Shortfall as a Tool for Financial Risk Management
Carlo Acerbi, Claudio Nordio, Carlo Sirtori
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...