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On the coherence of expected shortfall

✍ Scribed by Carlo Acerbi; Dirk Tasche

Book ID
117528492
Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
162 KB
Volume
26
Category
Article
ISSN
0378-4266

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✍ Franco Peracchi; Andrei V. Tanase πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 492 KB

## Abstract Unlike the value at risk, the expected shortfall is a coherent measure of risk. In this paper, we discuss estimation of the expected shortfall of a random variable __Y__~__t__~ with special reference to the case when auxiliary information is available in the form of a set of predictors