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Expected shortfall and beyond

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  • Tasche, Dirk

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  • Tasche, Dirk, 2002. "Expected shortfall and beyond," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1519-1533, July.
    • Handle: RePEc:eee:jbfina:v:26:y:2002:i:7:p:1519-1533
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    References listed on IDEAS

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    1. Winfried G. Hallerbach, 1999. "Decomposing Portfolio Value-at-Risk: A General Analysis," Tinbergen Institute Discussion Papers 99-034/2, Tinbergen Institute.
    2. C, R & K, G, 2002. "In this issue ..," The Electricity Journal, Elsevier, vol. 15(7), pages 2-2.
    3. Wang, Shaun, 1996. "Premium Calculation by Transforming the Layer Premium Density," ASTIN Bulletin, Cambridge University Press, vol. 26(1), pages 71-92, May.
    4. Gourieroux, C. & Laurent, J. P. & Scaillet, O., 2000. "Sensitivity analysis of Values at Risk," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 225-245, November.
    5. Acerbi, Carlo, 2002. "Spectral measures of risk: A coherent representation of subjective risk aversion," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1505-1518, July.
    6. Acerbi, Carlo & Tasche, Dirk, 2002. "On the coherence of expected shortfall," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1487-1503, July.
    7. Dirk Tasche, 2001. "Conditional Expectation as Quantile Derivative," Papers math/0104190, arXiv.org.
    8. C, R & K, G, 2002. "In this issue ..," The Electricity Journal, Elsevier, vol. 15(10), pages 2-2, December.
    9. Hans Föllmer & Alexander Schied, 2002. "Convex measures of risk and trading constraints," Finance and Stochastics, Springer, vol. 6(4), pages 429-447.
    10. C, R & K, G, 2002. "In this issue..," The Electricity Journal, Elsevier, vol. 15(8), pages 2-2, October.
    11. C, R & K, G, 2002. "In this issue ..," The Electricity Journal, Elsevier, vol. 15(9), pages 2-2, November.
    12. C, R & K, G, 2002. "In this issue ..," The Electricity Journal, Elsevier, vol. 15(2), pages 2-2, March.
    13. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    14. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    15. C, R & K, G, 2002. "In this issue ..," The Electricity Journal, Elsevier, vol. 15(1), pages 2-2.
    16. Carlo Acerbi & Claudio Nordio & Carlo Sirtori, 2001. "Expected Shortfall as a Tool for Financial Risk Management," Papers cond-mat/0102304, arXiv.org.
    17. Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
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