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Expected Shortfall: A Natural Coherent Alternative to Value at Risk

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  • Carlo Acerbi
  • Dirk Tasche

Abstract

type="main" xml:lang="en"> 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 100% 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 (J.E.L.: G20, C13, C14).

Suggested Citation

  • Carlo Acerbi & Dirk Tasche, 2002. "Expected Shortfall: A Natural Coherent Alternative to Value at Risk," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 31(2), pages 379-388, July.
  • Handle: RePEc:bla:ecnote:v:31:y:2002:i:2:p:379-388
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