Dowd, Kevin (contributor); Cairns, Andrew (contributor); … - 2006
cohort, and the other not. The risk measures estimated are the
alue-at-risk, the expected shortfall and a spectral risk …
empirically plausible values (0.175, 0.175)
prime
.
9
The initial
values are then equal to the expected value of the posi-
tion …
to q
α
.
The second risk measure is the expected shortfall
(ES), and the αES is the average of the worst 1 − α losses …