Bignozzi, Valeria; Burzoni, Matteo; Munari, Cosimo-Andrea - 2018
Shortfall (ES), take into account both the frequency and the severity of losses. Under VaR a single confidence level is assigned … regardless of the size of potential losses. We allow for a range of confidence levels that depend on the loss magnitude. The key … ingredient is a benchmark loss distribution (BLD), i.e.~a function that associates to each potential loss a maximal acceptable …