On the significance of expected shortfall as a coherent risk measure

By Koji Inui, Masaaki Kijima. 2005

112 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/1daaf10a15a1367669ec3465c28bab3ca45844bc

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In Demography

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In Management Science and Operations Research

Citations in the corpus

Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis (2009, unknown): “For this purpose, we (7)A coherent measure of risk should satisfy the axioms of monotonicity, subadditivity, positive homogeneity and translation invariance (Inui and Kijima, 2005).”
Optimal reinsurance under VaR and CTE risk measures (2008, background): “See, for example, Artzner, et al. (1999), Basak and Shapiro (2001), McNeil, et al. (2005), Cai and Li (2005), Inui and Kijima (2005) and Yamai and Toshiba (2005).”
A framework for assessing the systemic risk of major financial institutions (2009, background): “However, some preliminary evidence suggests that this assumption only causes small (6)This is consistent with recent studies by Tang and Yan (2006) and Bongaerts et al.”
Risk measurement with equivalent utility principles (2006, background): “It can be further shown that coherent distortion risk measures can be represented as mixtures of Tail-VaR’s, as pointed out by Inui & Kijima (2005); see also Bassett, Koenker & Kordas (2004) for portfolio allocation with mixtures of Tail-VaR’s, and Pflug (2002).”
Systemic Risk Contributions (2011, unknown): “…of literature on systemic risk measurement and management is rapidly growing; some researchers are focusing on the interaction between the real economy and the financial sector (see, e.g., Nicolò and Lucchetta 2010), and others on financial sector default risk (see, e.g., Kim and Giesecke 2010).”
Hybrid Historical Simulation VaR and ES: Performance in Developed and Emerging Markets (2009, unknown): “They, along with many others (see Acerbi et al. 2001, Yamai and Yoshiba, 2002 and Inui and Kijima, 2005), advocated the use of ES as an alternative risk measure with good theoretical properties.”
Optimal Reinsurance Arrangements Under Tail Risk Measures (2009, unknown): “From a theoretical perspective CTE is better than VaR (see Artzner et al. (1999), Inui and Kijima (2005)), and it has already been implemented to regulate some insurance products (with financial guarantees) in Canada (Hardy (2003)).”