articleJournal of Banking & FinanceJul 1, 2002Closed access

On the coherence of expected shortfall

CACarlo AcerbiDTDirk Tasche

Databank (Italy) · Deutsche Bundesbank

Indexed incrossref

Abstract

No abstract available for this paper.

Citation impact

1,576
total citations
FWCI
50.45
Percentile
100%
References
28
Citations per year

Authors

2

Topics & keywords

Topics
Keywords
  • Expected shortfall
  • Coherence (philosophical gambling strategy)
  • Estimator
  • Econometrics
  • Measure (data warehouse)
  • Coherent risk measure
  • Value at risk
  • Dynamic risk measure
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