Modified expected shortfall: a coherent risk measure for elliptical family of distributions

DOI10.1007/s13571-022-00294-1zbMath1519.91291OpenAlexW4288685348MaRDI QIDQ6108890

T. V. Ramanathan, Deepak K. Jadhav

Publication date: 30 June 2023

Published in: Sankhyā. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13571-022-00294-1

zbMATH Keywords

elliptical distributionsexpected shortfallcoherent risk measuremodified expected shortfall

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

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• On the theory of elliptically contoured distributions
• Coherent Measures of Risk
• COMPARATIVE ANALYSES OF EXPECTED SHORTFALL AND VALUE-AT-RISK(Special Issue on Theory, Methodology and Applications in Financial Engneering)
• Tail Conditional Expectations for Elliptical Distributions