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Expected shortfall for distributions in finance

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Statistical Tools for Finance and Insurance

Abstract

It has been nearly 50 years since the appearance of the pioneering paper of Mandelbrot (1963) on the non-Gaussianity of financial asset returns, and their highly fat-tailed nature is now one of the most prominent and accepted stylized facts. The recent book by Jondeau et al. (2007) is dedicated to the topic, while other chapters and books discussing the variety of non-Gaussian distributions of use in empirical finance include McDonald (1997), Knight and Satchell (2001), and Paolella (2007).

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Author information

Authors and Affiliations

  1. Department of Quantitative Economics, Amsterdam School of Economics, Amsterdam, Netherlands

    Simon A. Broda

  2. Swiss Banking Institute, University of Zurich, Zurich, Switzerland

    Marc S. Paolella

Authors
  1. Simon A. Broda
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  2. Marc S. Paolella
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Editor information

Editors and Affiliations

  1. Fac. Economics & Business Administration, Dept. Econometrics &, Tilburg University, Tilburg, 5000, Netherlands

    Pavel Cizek

  2. L.v.Bortkiewicz Chair of Statistics, C.A.S.E. Centre f. Appl. Stat. & Econ., Humboldt-Universität zu Berlin, Unter den Linden 6, Berlin, 10099, Germany

    Wolfgang Karl Härdle

  3. , Institute of Organization and, Wrocław University of Technology, Wyb. Wyspiańskiego 27, Wrocław, 50-370, Poland

    Rafał Weron

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Broda, S.A., Paolella, M.S. (2011). Expected shortfall for distributions in finance. In: Cizek, P., Härdle, W., Weron, R. (eds) Statistical Tools for Finance and Insurance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-18062-0_2

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