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- Expected_shortfall abstract "Expected shortfall (ES) is a risk measure, a concept used in finance (and more specifically in the field of financial risk measurement) to evaluate the market risk or credit risk of a portfolio. It is an alternative to value at risk that is more sensitive to the shape of the loss distribution in the tail of the distribution. The "expected shortfall at q% level" is the expected return on the portfolio in the worst % of the cases.Expected shortfall is also called conditional value at risk (CVaR), average value at risk (AVaR), and expected tail loss (ETL).ES evaluates the value (or risk) of an investment in a conservative way, focusing on the less profitable outcomes. For high values of it ignores the most profitable but unlikely possibilities, for small values of it focuses on the worst losses. On the other hand, unlike the discounted maximum loss even for lower values of expected shortfall does not consider only the single most catastrophic outcome. A value of often used in practice is 5%.[citation needed]Expected shortfall is a coherent, and moreover a spectral, measure of financial portfolio risk. It requires a quantile-level , and is defined to be the expected loss of portfolio value given that a loss is occurring at or below the -quantile.".
- Expected_shortfall wikiPageExternalLink 0104295%22%20.
- Expected_shortfall wikiPageExternalLink acerbi1.pdf.
- Expected_shortfall wikiPageExternalLink CVaR1_JOR.pdf.
- Expected_shortfall wikiPageExternalLink cvar2_jbf.pdf.
- Expected_shortfall wikiPageExternalLink download.cgi?db_name=QMF2004&paper_id=142:.
- Expected_shortfall wikiPageID "8307819".
- Expected_shortfall wikiPageRevisionID "594145590".
- Expected_shortfall hasPhotoCollection Expected_shortfall.
- Expected_shortfall subject Category:Actuarial_science.
- Expected_shortfall subject Category:Financial_risk.
- Expected_shortfall subject Category:Mathematical_finance.
- Expected_shortfall comment "Expected shortfall (ES) is a risk measure, a concept used in finance (and more specifically in the field of financial risk measurement) to evaluate the market risk or credit risk of a portfolio. It is an alternative to value at risk that is more sensitive to the shape of the loss distribution in the tail of the distribution.".
- Expected_shortfall label "Expected shortfall".
- Expected_shortfall label "期待ショートフォール".
- Expected_shortfall sameAs 期待ショートフォール.
- Expected_shortfall sameAs m.026zvst.
- Expected_shortfall sameAs Q5420856.
- Expected_shortfall sameAs Q5420856.
- Expected_shortfall wasDerivedFrom Expected_shortfall?oldid=594145590.
- Expected_shortfall isPrimaryTopicOf Expected_shortfall.