Coherent risk measures under filtered historical simulation
作者： Kostas Giannopoulos , Radu Tunaru
DOI: 10.1016/J.JBANKFIN.2004.08.009
关键词: Spectral risk measure 、 Statistical error 、 Economics 、 Entropic value at risk 、 Intuition 、 Econometrics 、 Futures contract 、 Expected shortfall 、 Subjective risk 、 Coherent risk measure
摘要: … Expected Shortfall (ES) offers a robust theoretical alternative as a measure of risk, although … is a coherent risk measure, we were able to derive a closed form asymptotic formula for the …
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