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.