Estimation Error of Expected Shortfall

7 Pages Posted: 25 Feb 2014  

Imre Kondor

Parmenides Foundation; London Mathematical Laboratory

Date Written: February 24, 2014

Abstract

The problem of estimation error of Expected Shortfall is analyzed, with a view of its introduction as a global regulatory risk measure.

Keywords: quantitative finance, portfolio management, risk measures

Suggested Citation

Kondor, Imre, Estimation Error of Expected Shortfall (February 24, 2014). Available at SSRN: https://ssrn.com/abstract=2400401 or http://dx.doi.org/10.2139/ssrn.2400401

Imre Kondor (Contact Author)

Parmenides Foundation ( email )

Kirchplatz 1
Pullach
Munchen, 82049
Germany

London Mathematical Laboratory ( email )

14 Buckingham St
London, WC2N 6DF
United Kingdom

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