Managing risk with expected shortfall

MaRDI QIDQ2724701zbMATH OpenFDO

Authors Dan Rosen, Helmut Mausser

Publication date 6 July 2003

zbMATH Keywords

expected shortfallrisk management

Mathematics Subject Classification ID

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• Expected shortfall computation with multiple control variates
• Risk management under a factor stochastic volatility model
• A confidence interval procedure for expected shortfall risk measurement via two-level simulation
• Stability analysis of the expected shortfall estimation
• COMPARATIVE ANALYSES OF EXPECTED SHORTFALL AND VALUE-AT-RISK(Special Issue on Theory, Methodology and Applications in Financial Engneering)
• The expected shortfall of quadratic portfolios with heavy-tailed risk factors
• Expected shortfall and beyond
• Centred expected shortfall (CES): a traditional asset manager’s view on decomposing downside investment risk

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