| Calculation of Expected Shortfall for Measuring Risk and Its Applications |
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| 作者姓名： | 阎春宁 余鹏 黄养新 |
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| 作者单位： | [1]CollegeofInternationalBusinessandManagement,ShanghaiUniversity,Shanghai201800,P.R.China [2]DepartmentofBiostatisticsandComputationalBiology,UniversityofRochester,NewYork14642,USA |
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| 基金项目： | theNationalNaturalScienceFoundationofChina(GrantNo.70171059) |
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| 摘 要： | Expected shortfall(ES) is a new method to measure market risk. In this paper, an example was presented to illustrate that the ES is coherent but value-at-risk(VaR) is not coherent. Three formulas for calculating the ES based on historical simulation method, normal method and GARCH method were derived. Further, a numerical experiment on optimizing portfolio using ES was provided.
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| 关 键 词： | 评估风险 期望损失 计算方法 市场风险 数字模拟 金融风险 |
| 收稿时间： | 4 June 2003 |
Calculation of expected shortfall for measuring risk and its applications |
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| Yan Chun-ning,Yu Peng,Huang Yang-xin.Calculation of Expected Shortfall for Measuring Risk and Its Applications[J].Journal of Shanghai University(English Edition),2005,9(1):90-94. |
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| Authors: | Yan Chun-ning Yu Peng Huang Yang-xin |
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| Institution: | (1) College of International Business and Management, Shanghai University, 201800 Shanghai, P.R. China;(2) Department of Biostatistics and Computational Biology, University of Rochester, 14642 New York, USA |
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| Abstract: | Expected shortfall(ES) is a new method to measure market risk. In this paper, an example was presented to illustrate that the ES is coherent but value-at-risk(VaR) is not coherent. Three formulas for calculating the ES based on historical simulation method, normal method and GARCH method were derived. Further, a numerical experiment on optimizing portfolio using ES was provided. |
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| Keywords: | coherent expected shortfall(ES) value-at-risk(VaR) |
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