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On the coherence of expected shortfall
Journal of Banking & Finance · 2002 · Vol. 26(7) · pp. 1487–1503
Carlo Acerbi✉(Databank (Italy))Dirk Tasche(Deutsche Bundesbank)
Risk and Portfolio OptimizationFinancial Risk and Volatility ModelingInsurance and Financial Risk ManagementExpected shortfallCoherence (philosophical gambling strategy)EstimatorEconometricsMeasure (data warehouse)Coherent risk measureValue at riskDynamic risk measureRisk measureClassification of discontinuities
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References
Conditional value-at-risk for general loss distributions
Journal of Banking & Finance · 2002 · 3,623 citations
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