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  • Artzner-Delbaen-Eber-Heath: coherent risk measures
  • Tasche: Euler risk allocation
  • Acerbi-Tasche expected shortfall
  • Expected shortfall and coherence

Expected shortfall and coherence#

What makes a risk measure coherent, why VaR is not, and how expected shortfall is estimated and allocated to positions.

Artzner-Delbaen-Eber-Heath: coherent risk measures

Artzner-Delbaen-Eber-Heath: coherent risk measures

Tasche: Euler risk allocation

Tasche: Euler risk allocation

Acerbi-Tasche expected shortfall

Acerbi-Tasche expected shortfall
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