Expected Shortfall: A Natural Coherent Alternative to Value at Risk

Carlo Acerbi and Dirk Tasche

Economic Notes, 2002, vol. 31, issue 2, 379-388

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).

Date: 2002
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Working Paper: Expected Shortfall: a natural coherent alternative to Value at Risk (2001)
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