イヌイ　コウジ   Inui Kouji   乾　孝治    所属   明治大学  総合数理学部    職種   専任教授
言語種別	英語
発行・発表の年月	2005/01
形態種別	学術雑誌
標題	On the significance of expected shortfall as a coherent risk measure
執筆形態	共著(筆頭者)
掲載誌名	Journal of Banking & Finance
巻・号・頁	29,pp.853-864
著者・共著者	Masaaki Kijima
概要	This article shows that any coherent risk measure is given by a convex combination of expected shortfall, and an expected shortfall (ES) is optimal in the sense that it gives the minimum value among the class of plausible coherent risk measures. Hence it is of great practical interest to estimate the ES with given confidence level from the market data in a stable fashion. In this article, we propose an extrapolation method to estimate the ES of interest. Some numerical results are given to show the efficiency of our methodd.