Adjusted Expected Shortfall
نویسندگان
چکیده
We introduce and study the main properties of a class convex risk measures that refine Expected Shortfall by simultaneously controlling expected losses associated with different portions tail distribution. The corresponding adjusted Shortfalls quantify as minimum amount capital has to be raised injected into financial position X ensure ES p ( ) does not exceed pre-specified threshold g for every probability level ? [ 0 , 1 ] . Through choice benchmark profile one can tailor assessment specific application interest. devote special attention profiles defined random loss, in which case our are intimately linked second-order stochastic dominance.
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ژورنال
عنوان ژورنال: Journal of Banking and Finance
سال: 2022
ISSN: ['1872-6372', '0378-4266']
DOI: https://doi.org/10.1016/j.jbankfin.2021.106297