Expected Shortfall as a Tool for Financial Risk Management
AbstractWe 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)
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number cond-mat/0102304.
Date of creation: Feb 2001
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Web page: http://arxiv.org/
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