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Quantitative Finance Volume 14, 2014 - Issue 2: Themed Issue on Pensions and Insurance
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Estimation methods for expected shortfall

Saralees Nadarajah School of Mathematics, University of Manchester, Sackville Street, Manchester, M13 9PL, UKCorrespondence[email protected]
,
Bo Zhang School of Mathematics, University of Manchester, Sackville Street, Manchester, M13 9PL, UK
&
Stephen Chan School of Mathematics, University of Manchester, Sackville Street, Manchester, M13 9PL, UK
Pages 271-291 | Received 09 Nov 2012, Accepted 11 Jun 2013, Published online: 30 Jul 2013

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Bruno Bouchard, Adil Reghai & Benjamin Virrion. (2021) Computation of expected shortfall by fast detection of worst scenarios. Quantitative Finance 21:7, pages 1087-1108.
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Mauro Bernardi, Roy Cerqueti & Arsen Palestini. (2021) Allocation of risk capital in a cost cooperative game induced by a modified expected shortfall. Journal of the Operational Research Society 72:3, pages 628-641.
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Gema Fernández-Avilés, José-María Montero & Lidia Sanchis-Marco. (2020) Extreme downside risk co-movement in commodity markets during distress periods: a multidimensional scaling approach. The European Journal of Finance 26:12, pages 1207-1237.
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Felix Scheller & Benjamin R. Auer. (2018) How does the choice of Value-at-Risk estimator influence asset allocation decisions?. Quantitative Finance 18:12, pages 2005-2022.
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Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta. (2016) An R Package for Value at Risk and Expected Shortfall. Communications in Statistics - Simulation and Computation 45:9, pages 3416-3434.
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