Publication: Adjusted Expected Shortfall
Adjusted Expected Shortfall
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Burzoni, M., Munari, C., & Wang, R. (2022). Adjusted Expected Shortfall. Journal of Banking and Finance, 134, 106297. https://doi.org/10.1016/j.jbankfin.2021.106297
Abstract
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Abstract
We introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by simultaneously controlling the expected losses associated with different portions of the tail distribution. The corresponding adjusted Expected Shortfalls quantify risk as the minimum amount of capital that has to be raised and injected into a financial position X to ensure that Expected Shortfall ESp (X) does not exceed a pre-specified threshold g(p) for every probability level p ∈ [0, 1]. Through the choice of the benchmar
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- Burzoni, Matteo
- Munari, Cosimo
- Wang, Ruodu
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Burzoni, M., Munari, C., & Wang, R. (2022). Adjusted Expected Shortfall. Journal of Banking and Finance, 134, 106297. https://doi.org/10.1016/j.jbankfin.2021.106297
