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Expected Shortfall as a Tool for Financial Risk Management

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Author Info
Carlo Acerbi (Derivatives Desk, Abaxbank, Milano Italy)
Claudio Nordio (Derivatives Desk, Abaxbank, Milano Italy)
Carlo Sirtori (Derivatives Desk, Abaxbank, Milano Italy)
Abstract

We 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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File URL: http://arxiv.org/abs/cond-mat/0102304
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Paper provided by arXiv.org in its series Quantitative Finance Papers with number cond-mat/0102304.

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Date of creation: Feb 2001
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Handle: RePEc:arx:papers:cond-mat/0102304

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  1. Timotheos Angelidis & Stavros Degiannakis, 2007. "Backtesting VaR Models: An Expected Shortfall Approach," Working Papers 0701, University of Crete, Department of Economics. [Downloadable!]
  2. Alexis Bonnet & Isabelle Nagot, 2005. "Methodology of measuring performance in alternative investment," Cahiers de la Maison des Sciences Economiques b05078, Université Panthéon-Sorbonne (Paris 1). [Downloadable!]
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