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- W4302130047 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 % worst losses in a sample of returns to a portfolio. Here p is some fixed confidence level. We also compare several alternative representations of ES which turn out to be more appropriate for certain purposes." @default.
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- W4302130047 date "2001-05-09" @default.
- W4302130047 modified "2023-09-30" @default.
- W4302130047 title "Expected Shortfall: a natural coherent alternative to Value at Risk" @default.
- W4302130047 doi "https://doi.org/10.48550/arxiv.cond-mat/0105191" @default.
- W4302130047 hasPublicationYear "2001" @default.
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