2002•Journal of Banking & FinanceRequires access
On the coherence of expected shortfall
Carlo Acerbi, Dirk Tasche
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Abstract
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Carlo Acerbi, Dirk Tasche
Abstract
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OpenAlex reports 1619 citations for this work. Citation counts describe recorded attention and do not establish research quality.
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Key concepts: Expected shortfall, Coherence (philosophical gambling strategy), Estimator, Econometrics, Measure (data warehouse), Coherent risk measure, Value at risk, Dynamic risk measure