On the Coherence of Expected Shortfall¶
Acerbi, C., & Tasche, D. (2002). On the Coherence of Expected Shortfall. Journal of Banking & Finance, 26(7), 1487-1503.
Cited by¶
1 citation across 1 artifact.
Each citation links to the sentence it supports in the citing article.
Mechanisms¶
- Reserve Buffer Policy
- The discipline that guards against this is to pin the buffer's size to the current tail estimate by policy — an expected-shortfall figure that averages the losses beyond a chosen quantile, not the worst loss seen so far
This sourceDefines expected shortfall as the average loss within a selected worst-loss tail rather than the single worst historical observation.
- The discipline that guards against this is to pin the buffer's size to the current tail estimate by policy — an expected-shortfall figure that averages the losses beyond a chosen quantile, not the worst loss seen so far
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Registry ID ref:524fd4cbd960 · see in the full table