VaR vs. Expected Shortfall: Some Papers

[Ken Abbott]

https://www.bis.org/cgfs/conf/mar02p.pdf

https://courses.edx.org/c4x/DelftX/TW3421x/asset/Week3_var_2_slides.pdf

https://faculty.washington.edu/ezivot/econ589/me20-1-4.pdf

(PDF) Expected Shortfall as a Tool for Financial Risk Management

PDF | We study the properties of Expected Shortfall from the point of view of financial risk management. This measure --- which emerges as a natural... | Find, read and cite all the research you need on ResearchGate

www.researchgate.net

https://fam.tuwien.ac.at/~sgerhold/pub_files/sem18/s_filippova.pdf

http://www.columbia.edu/~mh2078/QRM/BasicConceptsMasterSlides.pdf

https://core.ac.uk/download/pdf/56378542.pdf

Expected shortfall - Wikipedia

en.wikipedia.org

https://www.usaee.org/usaee2017/workshop/Labhart/Expected%20shortfall%20a%20natural%20coherent%20alternative%20to%20Value%20at%20Risk.pdf

https://www.msci.com/documents/1296102/1636401/risk1214msci.pdf/b2e0992f-bdbf-432f-97ef-a679630e8e8f

https://epge.fgv.br/we/MFEE/GerenciamentodeRisco/2011?action=AttachFile&do=get&target=Artigo87.pdf