Expected Shortfall as a Tool for Financial Risk Management

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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 able to distinguish portfolios which bear different levels of risk --- is indeed shown to have much better properties than VaR. We show in fact that unlike VaR this variable is in general subadditive and therefore it is a Coherent Measure of Risk in the sense of reference (artzner)
10 pages

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Statistical Mechanics, Risk Management

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http://salesiana.dossiersoluciones.com/handle/123456789/208681

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/cond-mat/0102304
 http://arxiv.org/abs/cond-mat/0102304

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arXiv