Calculation of expected shortfall for measuring risk and its applications
暂无分享,去创建一个
Expected shortfall(ES) is a new method to measure market risk. In this paper, an example was presented to illustrate that the ES is coherent but value-at-risk(VaR) is not coherent. Three formulas for calculating the ES based on historical simulation method, normal method and GARCH method were derived. Further, a numerical experiment on optimizing portfolio using ES was provided.
[1] Philippe Artzner,et al. Coherent Measures of Risk , 1999 .
[2] R. Rockafellar,et al. Optimization of conditional value-at risk , 2000 .