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Expected Shortfall as a Tool for Financial Risk Management

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arxiv cond-mat/0102304 v1 pith:UDOFTRG3 submitted 2001-02-16 cond-mat.stat-mech q-fin.RM

Carlo Acerbi , Claudio Nordio , Carlo Sirtori (Derivatives Desk , Abaxbank , Milano Italy) This is my paper · ORCID
classification cond-mat.stat-mechq-fin.RM
keywords riskexpectedfinancialmanagementmeasurepropertiesshortfallable
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We study the properties of Expected Shortfall from the point of view of financial risk management. This measure --- which emerges as a natural remedy in some cases where Value at Risk (VaR) is not able to distinguish portfolios which bear different levels of risk --- is indeed shown to have much better properties than VaR. We show in fact that unlike VaR this variable is in general subadditive and therefore it is a Coherent Measure of Risk in the sense of reference (artzner)

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  1. Fine-Tuning Generative Models for Extreme Events via CVaR-Penalized Wasserstein Gradient Flows

    stat.ML 2026-08 conditional novelty 6.0 of 10

    Adding a Conditional Value-at-Risk tail penalty to a Lipschitz-regularized divergence creates a bounded non-Lipschitz particle flow that improves heavy-tail accuracy of pre-trained generative models.

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