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Expected shortfall for distributions in finance

In: Statistical Tools for Finance and Insurance

Author

Listed:
  • Simon A. Broda

    (Amsterdam School of Economics, Department of Quantitative Economics)

  • Marc S. Paolella

    (University of Zurich, Swiss Banking Institute)

Abstract

It has been nearly 50 years since the appearance of the pioneering paper of Mandelbrot (1963) on the non-Gaussianity of financial asset returns, and their highly fat-tailed nature is now one of the most prominent and accepted stylized facts. The recent book by Jondeau et al. (2007) is dedicated to the topic, while other chapters and books discussing the variety of non-Gaussian distributions of use in empirical finance include McDonald (1997), Knight and Satchell (2001), and Paolella (2007).

Suggested Citation

  • Simon A. Broda & Marc S. Paolella, 2011. "Expected shortfall for distributions in finance," Springer Books, in: Pavel Cizek & Wolfgang Karl Härdle & Rafał Weron (ed.), Statistical Tools for Finance and Insurance, chapter 2, pages 57-99, Springer.
    • Handle: RePEc:spr:sprchp:978-3-642-18062-0_2
    DOI: 10.1007/978-3-642-18062-0_2
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