About: Adjusted Expected Shortfall

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An Entity of Type : schema:ScholarlyArticle, within Data Space : covidontheweb.inria.fr associated with source document(s)

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type	Academic Article research paper schema:ScholarlyArticle
isDefinedBy	Covid-on-the-Web dataset
title	Adjusted Expected Shortfall
Creator	Burzoni, Matteo Munari, Cosimo Wang, Ruodu
source	ArXiv
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 $ES_p(X)$ does not exceed a pre-specified threshold $g(p)$ for every probability level $p/in[0,1]$. Through the choice of the benchmark risk profile $g$ one can tailor the risk assessment to the specific application of interest. We devote special attention to the study of risk profiles defined by the Expected Shortfall of a benchmark random loss, in which case our risk measures are intimately linked to second-order stochastic dominance.
has issue date	2020-07-17(xsd:dateTime)
has license	arxiv
sha1sum (hex)	8c858871b233f6dd22ace445675daa761384ecf2
resource representing a document's title	Adjusted Expected Shortfall
resource representing a document's body	covid:8c858871b233f6dd22ace445675daa761384ecf2#body_text
is schema:about of	named entity 'ASSOCIATED WITH' named entity 'CONVEX' named entity 'EXPECTED' named entity 'risk profile' named entity 'convex' »more»

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