On the coherence of expected shortfall
On the coherence of expected shortfall
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DOI：
10.1016/s0378-4266(02)00283-2
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发表时间：
2002-07-01
影响因子：
3.7
通讯作者：
Tasche, D
中科院分区：
文献类型：
--
作者：
Acerbi, C;Tasche, D
预期不足（ES）的几种变体已被提出作为弥补在险价值（VaR）的不足，这通常不是一个连贯的风险度量。事实上，大多数ES的定义在应用于连续损失分布时会得到相同的结果。当潜在损失分布具有不连续时，可能会出现差异。在这种情况下，即使ES的相干性也会丢失，除非我们在其定义中注意到细节。我们比较了ES的一些定义，指出有一个定义在产生连贯的风险度量的意义上是稳健的，而不管潜在的分布如何。此外，即使在通常的VaR估计器失败的情况下，这个ES也可以有效地估计。2002 Elsevier Science B.V.版权所有
Expected shortfall (ES) in several variants has been proposed as remedy for the deficiencies of value-at-risk (VaR) which in general is not a coherent risk measure. In fact, most definitions of ES lead to the same results when applied to continuous loss distributions. Differences may appear when the underlying loss distributions have discontinuities. In this case even the coherence property of ES can get lost unless one took care of the details in its definition. We compare some of the definitions of ES, pointing out that there is one which is robust in the sense of yielding a coherent risk measure regardless of the underlying distributions. Moreover, this ES can be estimated effectively even in cases where the usual estimators for VaR fail. 2002 Elsevier Science B.V. All rights reserved.