Abstract
The VaR ignores quite a bit of seemingly important information—those losses that are even larger than the VaR. To take large losses into account, we could measure, e.g., the average of the 2.5% largest losses. This is called expected shortfall or ES.
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Auer, M. (2018). Expected Shortfall. In: Hands-On Value-at-Risk and Expected Shortfall. Management for Professionals. Springer, Cham. https://doi.org/10.1007/978-3-319-72320-4_8
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DOI: https://doi.org/10.1007/978-3-319-72320-4_8
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Publisher Name: Springer, Cham
Print ISBN: 978-3-319-72319-8
Online ISBN: 978-3-319-72320-4
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