Expected Shortfall as a Tool for Financial Risk Management
| dc.creator | Acerbi, Carlo | |
| dc.creator | Nordio, Claudio | |
| dc.creator | Sirtori, Carlo | |
| dc.date | 2001-02-16 | |
| dc.date.accessioned | 2026-07-07T12:06:32Z | |
| dc.date.available | 2026-07-07T12:06:32Z | |
| dc.description | 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) | |
| dc.description | 10 pages | |
| dc.identifier | https://arxiv.org/abs/cond-mat/0102304 | |
| dc.identifier | http://arxiv.org/abs/cond-mat/0102304 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/208681 | |
| dc.subject | Statistical Mechanics | |
| dc.subject | Risk Management | |
| dc.title | Expected Shortfall as a Tool for Financial Risk Management | |
| dc.type | text |