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On the Coherence of Expected Shortfall
Company: Technische Universitat Munchen
Year Of Publication: 2002
Month Of Publication: April
Download Count: 4465
View Count: 31257
Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 7-30-2002
Publisher: Administrator
Summary
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 lead to the same results when applied to continuous loss distributions. Differences may appear when the underlying loss distributions have discontinuities. In this case even the coherence property of ES can get lost unless one took care of the details in its definition. We compare some of the definitions of Expected Shortfall, pointing out that there is one which is robust in the sense of yielding a coherent risk measure regardless of the underlying distributions. Moreover, this Expected Shortfall can be estimated effectively even in cases where the usual estimators for VaR fail.
Author(s)
Acerbi, Carlo Sign in to follow this author
Tasche, Dirk Sign in to follow this author
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