{"paper":{"title":"Expected Shortfall and Beyond","license":"","headline":"","cross_cats":["q-fin.RM"],"primary_cat":"cond-mat","authors_text":"Dirk Tasche","submitted_at":"2002-03-27T14:14:26Z","abstract_excerpt":"Financial institutions have to allocate so-called \"economic capital\" in order to guarantee solvency to their clients and counter parties. Mathematically speaking, any methodology of allocating capital is a \"risk measure\", i.e. a function mapping random variables to the real numbers. Nowadays \"value-at-risk\", which is defined as a fixed level quantile of the random variable under consideration, is the most popular risk measure. Unfortunately, it fails to reward diversification, as it is not \"subadditive\". In the search for a suitable alternative to value-at-risk, \"Expected Shortfall\" (or \"condi"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"cond-mat/0203558","kind":"arxiv","version":3},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}