Properties of ES

Martin Auer
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Martin Auer: Raiffeisen Bank International

Chapter 13 in Hands-On Value-at-Risk and Expected Shortfall, 2018, pp 65-68 from Springer

Abstract: Abstract The expected shortfall or ES expected shortfall shares the basic properties of the VaR given in the previous chapter: it is negative; it scales for positive multiples of positions; it vanishes for hedges; it is not additive; etc. For normally distributed PnLs, it is again a mere multiple of the standard deviation, and the scaling factor of the 2.5%-ES is, with 2.34.., very close to the 2.33.. of the 1%-VaR.

Date: 2018
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DOI: 10.1007/978-3-319-72320-4_13

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