Expected shortfall for distributions in finance

Abstract

It has been nearly 50 years since the appearance of the pioneering paper of Mandelbrot (1963) on the non-Gaussianity of financial asset returns, and their highly fat-tailed nature is now one of the most prominent and accepted stylized facts. The recent book by Jondeau et al. (2007) is dedicated to the topic, while other chapters and books discussing the variety of non-Gaussian distributions of use in empirical finance include McDonald (1997), Knight and Satchell (2001), and Paolella (2007).