Expected shortfall and portfolio management in contagious markets


For portfolio allocation purposes, neglecting to consider the interdependence of risks embedded in asset returns leads to underestimating the potential of realizing severe losses over short horizons. To address this contagious... [ view full abstract ]


  1. Alice Buccioli (Aarhus BSS, Aarhus University)
  2. Thomas Kokholm (Aarhus BSS, Aarhus University)
  3. Marco Nicolosi (University of Perugia)

Topic Areas

Asset Allocation , Risk Management , Risk Measures


MO-P-UI » Risk Measures: Theory and Practice (14:30 - Monday, 16th July, Ui Chadhain)

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