Expected Shortfall: a natural coherent alternative to Value at Risk
ثبت نشده
چکیده
منابع مشابه
Expected Shortfall: a natural coherent alternative to Value at Risk
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 100p% 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.
متن کاملExpected Shortfall and Beyond
Abstract. Financial institutions have to allocate so-called economic capital in order to guarantee solvency to their clients and counter parties. Mathematically speaking, any methodology of allocating capital is a risk measure, i.e. a function mapping random variables to the real numbers. Nowadays value-atrisk, which is defined as a fixed level quantile of the random variable under consideratio...
متن کاملOn the coherence of Expected Shortfall
Expected Shortfall (ES) in several variants has been proposed as remedy for the deficiencies of Value-at-Risk (VaR) which in general is not a coherent risk measure. In fact, most definitions of ES lead to the same results when applied to continuous loss distributions. Differences may appear when the underlying loss distributions have discontinuities. In this case even the coherence property of ...
متن کاملThe Evaluation of Systemic Risk in the Iran Banking System by Marginal Expected Shortfall (MES) Criterion
Today, Systemic Risk is being analyzed as one of the major issues in financial institutions. Banks are one of the institutions that can be linked to systemic risk based on global experience. Therefore, in the study, we evaluate the systemic risk in the banking system of the country via the marginal expected shortfall (MES) criterion. For the purpose of the present study, 17 banks listed on the ...
متن کاملSpectral Risk Measures for Credit Portfolios
In this article, we experiment with several different risk measures such as standard deviation, value-at-risk, expected shortfall and power-law spectral measures. We consider several families of testportfolios, one with a typical market risk profit-and-loss profile, and the others containing defaultable bonds of various credit ratings and various degree of diversification. We find that the risk...
متن کامل