Expected Shortfall as a Tool for Financial Risk Management

By C. Acerbi, C. Nordio, C. Sirtori. 2001

227 citations recorded by the source corpus.

We study the properties of Expected Shortfall from the point of view of financial risk management. This measure --- which emerges as a natural remedy in some cases where Value at Risk (VaR) is not able to distinguish portfolios which bear different levels of risk --- is indeed shown to have much better properties than VaR. We show in fact that unlike VaR this variable is in general subadditive and therefore it is a Coherent Measure of Risk in the sense of reference (artzner)

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/c70cd903c50028a8af6d38ff843eecd403599c18

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

In Management Science and Operations Research

Citations in the corpus

Fat tails, VaR and subadditivity☆ (2013, unknown): “3 See e.g. Artzner et al. (1999), Acerbi and Tasche (2001) and Acerbi et al. (2001).”
TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts (2012, background): “The differences between these definitions and their properties have been highlighted in Acerbi et al. (2001) and Acerbi and Tasche (2002).”
Portfolio optimization with conditional value-at-risk objective and constraints (2001, methodology): “Although risk management with percentile functions is a very important topic and in spite of significant research efforts (Andersen and Sornette (1999), Basak and Shapiro (1998), Emmer at al. (2000), Gaivoronski and Pflug (2000), Gourieroux et al. (2000), Grootweld and Hallerbach (2000), Kast at al.”
Expected Shortfall: a natural coherent alternative to Value at Risk (2001, background): “Key words: Expected Shortfall; Risk measure; worst conditional expectation; tail conditional expectation; value-at-risk (VaR); conditional value-at-risk (CVaR); coherence; subadditivity.”
Extreme Value Theory for Finance: A Survey (2012, unknown): “63See Acerbi et al. (2001) and Acerbi and Tasche (2002).”
On the significance of expected shortfall as a coherent risk measure (2005, unknown): “ES was first proposed by Artzner et al. (1997), and further studied, among others, by Acerbi et al. (2001), Acerbi and Tasche (2002) and Acerbi (2002).”
Multivariate distribution defined with Farlie–Gumbel–Morgenstern copula and mixed Erlang marginals: Aggregation and capital allocation (2013, unknown): “In a discrete setting, as explained in Acerbi et al. (2001) and Acerbi and Tasche (2002), the TVaR remains a coherent risk measure while the CTE is no longer coherent.”
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.”
Expected shortfall and beyond (2002, background): “The term ES stems from Acerbi et al. (2001) where a further proof of the coherence of ES was given.”
Spectral measures of risk: A coherent representation of subjective risk aversion (2002, background): “It was recently discovered (Acerbi et al., 2001; Acerbi and Tasche, 2001, 2002; Rockafellar and Uryasev, 2000, 2001) that the a-expected shortfall ESðaÞ, correctly defined as the ‘‘average of the a100% worst losses’’ of a portfolio is a coherent risk measure 1 for any chosen confidence level a 2…”
Subadditivity Re–Examined: the Case for Value-at-Risk (2005, unknown): “proposed by Acerbi et al. (2001), the tail conditional expectation and worst conditional expectation proposed by Artzner et al.”