Inui Kouji
   Department   Undergraduate School  , School of Interdisciplinary Mathematical Sciences
   Position   Professor
Language English
Publication Date 2005/01
Type Academic Journal
Title On the significance of expected shortfall as a coherent risk measure
Contribution Type Co-authored (first author)
Journal Journal of Banking & Finance
Volume, Issue, Page 29,pp.853-864
Author and coauthor Masaaki Kijima
Details 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.