Comparative Analyses of Expected Shortfall and Value-at-Risk: Their Estimation Error, Decomposition, and Optimization

By Yasuhiro Yamai, Toshinao Yoshiba. 2002

147 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/973492595b6640155d66b3ce6b389a68456f72ce

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Citations in the corpus

Analytical Bounds for two Value-at-Risk Functionals (2002, unknown): “(1997/99), Arztner(1999), Wirch(1999), Wirch and Hardy(1999), Delbaen(2000), Pflug(2000), Testuri and Uryasev(2000), Acerbi(2001), Acerbi and Tasche(2001a/b), Bertsimas et al.(2001), Hiirlimann(2001b/e), Kusuoka(2001), Rockafellar and Uryasev(2000/2001), Yamai and Yoshiba(2001a/b), Yoshiba and Yamai”
Optimal Financial Portfolios (2007, unknown): “subject to Ñ Ò Ó Ôé Ö× Ø òÜäå æ óè ä ô Ï Ð (GRR B) óè ë Ý Ü ÜÓì í îó í Üï ì Ü Ï ß in the sense that if the pair Ùó÷ø Í Ü÷ø Û is a solution to Problem (GRR A) and Ùó÷ù Í Ü÷ù Û is a solution to Problem (GRR B), then ç ÷ Ý ó÷ø úÜ÷ø Ý ó÷ù úÜ÷ù solves Problem (21).”
Value-at-risk versus expected shortfall: A practical perspective (2005, methodology): “11 Yamai and Yoshiba (2002a) illustrate this problem using simple examples of far-out-of-the-money option and a concentrated credit portfolio.”
On the significance of expected shortfall as a coherent risk measure (2005, unknown): “Yamai and Yoshiba (2002) reported that the ES estimator is instable especially for fat-tail distributions.”
Fat tails, VaR and subadditivity☆ (2013, unknown): “2 See e.g. Yamai and Yoshiba (2002) for more on the practical problems with alternative risk measures.”
Hidden Markov Models In Finance (2007, methodology): “This restriction, however, is relaxed in the essentially affine models of Duffee [12].”
Value-at-Risk vs. Conditional Value-at-Risk in Risk Management and Optimization (2008, methodology): “This subsection discusses decomposition of VaR and CVaR risk according to risk factor contributions; see, for instance, Tasche [28] and Yamai and Yoshiba [30].”