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has been cited by the following article:
TITLE: Bootstrapping the Expected Shortfall
AUTHORS: Shuxia Sun, Fuxia Cheng
KEYWORDS: High Quantile, Risk Measure, Moving Block Bootstrap, Nonparametric Estimation, Strong Mixing Sample Quantile
JOURNAL NAME: Theoretical Economics Letters, Vol.8 No.4, March 7, 2018
ABSTRACT: The expected shortfall is a popular risk measure in financial risk management. It is defined as the conditional expected loss given that the loss is greater than a given high quantile. We derive the asymptotic properties of the blocking bootstrap estimators for the expected shortfall of a stationary process under strong mixing conditions.