{"id":"https://openalex.org/W198055838","doi":"https://doi.org/10.1007/978-3-642-18062-0_2","title":"Expected shortfall for distributions in finance","display_name":"Expected shortfall for distributions in finance","publication_year":2011,"publication_date":"2011-01-01","ids":{"openalex":"https://openalex.org/W198055838","doi":"https://doi.org/10.1007/978-3-642-18062-0_2","mag":"198055838"},"language":"en","primary_location":{"id":"doi:10.1007/978-3-642-18062-0_2","doi":"https://doi.org/10.1007/978-3-642-18062-0_2","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-642-18062-0_2","pdf_url":null,"source":{"id":"https://openalex.org/S4306463937","display_name":"Springer eBooks","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/P4310319965","host_organization_name":"Springer Nature","host_organization_lineage":["https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Nature"],"type":"ebook platform"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Statistical Tools for Finance and Insurance","raw_type":"book-chapter"},"volume":{"id":"https://openalex.org/W1591959155","display_name":"Statistical Tools for Finance and Insurance"},"type":"book-chapter","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5083185601","display_name":"Simon A. Broda","orcid":"https://orcid.org/0000-0003-1686-9512","observed_orcids":["https://orcid.org/0000-0003-1686-9512"]},"institutions":[{"id":"https://openalex.org/I887064364","display_name":"University of Amsterdam","ror":"https://ror.org/04dkp9463","country_code":"NL","type":"education","lineage":["https://openalex.org/I887064364"]}],"countries":["NL"],"is_corresponding":false,"raw_author_name":"Simon A. Broda","raw_affiliation_strings":["Department of Quantitative Economics, Amsterdam School of Economics, Amsterdam, Netherlands"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Quantitative Economics, Amsterdam School of Economics, Amsterdam, Netherlands","institution_ids":["https://openalex.org/I887064364"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5051234257","display_name":"Marc S. Paolella","orcid":"https://orcid.org/0000-0002-5133-6677","observed_orcids":["https://orcid.org/0000-0002-5133-6677"]},"institutions":[{"id":"https://openalex.org/I202697423","display_name":"University of Zurich","ror":"https://ror.org/02crff812","country_code":"CH","type":"education","lineage":["https://openalex.org/I202697423"]}],"countries":["CH"],"is_corresponding":false,"raw_author_name":"Marc S. Paolella","raw_affiliation_strings":["Swiss Banking Institute, University of Zurich, Zurich, Switzerland"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Swiss Banking Institute, University of Zurich, Zurich, Switzerland","institution_ids":["https://openalex.org/I202697423"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":6.2259,"has_fulltext":false,"cited_by_count":40,"citation_normalized_percentile":{"value":0.97177009,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":null,"issue":null,"first_page":"57","last_page":"99"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.4113999903202057,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.4113999903202057,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.31029999256134033,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11720","display_name":"Probability and Risk Models","score":0.08760000020265579,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/conditional-value-at-risk","display_name":"conditional value at risk","score":0.9990000128746033},{"id":"https://openalex.org/keywords/non-gaussian-distributions","display_name":"non-Gaussian distributions","score":0.7929999828338623},{"id":"https://openalex.org/keywords/heavy-tailed-distributions","display_name":"heavy-tailed distributions","score":0.9629999995231628},{"id":"https://openalex.org/keywords/financial-asset-returns","display_name":"financial asset returns","score":0.9110000133514404},{"id":"https://openalex.org/keywords/risk-measures","display_name":"risk measures","score":0.6050000190734863},{"id":"https://openalex.org/keywords/tail-risk","display_name":"tail risk","score":0.5590000152587891}],"concepts":[{"id":"https://openalex.org/C38935604","wikidata":"https://www.wikidata.org/wiki/Q4330363","display_name":"Stylized fact","level":2,"score":0.9119714498519897},{"id":"https://openalex.org/C97519476","wikidata":"https://www.wikidata.org/wiki/Q257","display_name":"Mandelbrot set","level":3,"score":0.6870350241661072},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.562200665473938},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5188359022140503},{"id":"https://openalex.org/C136197465","wikidata":"https://www.wikidata.org/wiki/Q1729295","display_name":"Variety (cybernetics)","level":2,"score":0.46466195583343506},{"id":"https://openalex.org/C71140485","wikidata":"https://www.wikidata.org/wiki/Q2943226","display_name":"Knight","level":2,"score":0.4475392997264862},{"id":"https://openalex.org/C2778705799","wikidata":"https://www.wikidata.org/wiki/Q2823610","display_name":"Financial asset","level":2,"score":0.4195134937763214},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.41543906927108765},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.343354195356369},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.2160661518573761},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.15156930685043335},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.11562991142272949},{"id":"https://openalex.org/C165556158","wikidata":"https://www.wikidata.org/wiki/Q83937","display_name":"Keynesian economics","level":1,"score":0.1057049036026001},{"id":"https://openalex.org/C1276947","wikidata":"https://www.wikidata.org/wiki/Q333","display_name":"Astronomy","level":1,"score":0.0},{"id":"https://openalex.org/C40636538","wikidata":"https://www.wikidata.org/wiki/Q81392","display_name":"Fractal","level":2,"score":0.0},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0}],"mesh":[],"locations_count":5,"locations":[{"id":"doi:10.1007/978-3-642-18062-0_2","doi":"https://doi.org/10.1007/978-3-642-18062-0_2","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-642-18062-0_2","pdf_url":null,"source":{"id":"https://openalex.org/S4306463937","display_name":"Springer eBooks","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/P4310319965","host_organization_name":"Springer Nature","host_organization_lineage":["https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Nature"],"type":"ebook platform"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Statistical Tools for Finance and Insurance","raw_type":"book-chapter"},{"id":"pmh:oai:dare.uva.nl:openaire_cris_publications/b0c58dce-4c06-4a97-987d-338ab47102f1","doi":null,"is_oa":false,"landing_page_url":"https://handle.uba.uva.nl/personal/pure/en/publications/expected-shortfall-for-distributions-in-finance(b0c58dce-4c06-4a97-987d-338ab47102f1).html","pdf_url":null,"source":{"id":"https://openalex.org/S4306400088","display_name":"UvA-DARE (University of Amsterdam)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I887064364","host_organization_name":"University of Amsterdam","host_organization_lineage":["https://openalex.org/I887064364"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Broda, S A & Paolella, M S 2011, Expected shortfall for distributions in finance. in P C\u030c\u00ed\u017eek, W K H\u00e4rdle & R Weron (eds), Statistical tools for finance and insurance. 2 edn, Heidelberg, pp. 57-99. https://doi.org/10.1007/978-3-642-18062-0_2","raw_type":"info:eu-repo/semantics/bookPart"},{"id":"pmh:oai:www.zora.uzh.ch:20.500.14742/67183","doi":null,"is_oa":false,"landing_page_url":"https://www.zora.uzh.ch/handle/20.500.14742/67183","pdf_url":null,"source":{"id":"https://openalex.org/S4306401281","display_name":"Zurich Open Repository and Archive (University of Zurich)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I202697423","host_organization_name":"University of Zurich","host_organization_lineage":["https://openalex.org/I202697423"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Paolella, M. S., & Broda, S. (2011). Expected shortfall for distributions in finance. In P. Cizek, W. K. H\u00e4rdle, & R. Weron (Eds.), Statistical Tools for Finance and Insurance (pp. 57\u201399). Springer. https://doi.org/10.1007/978-3-642-18062-0_2","raw_type":"Book Section"},{"id":"pmh:oai:www.zora.uzh.ch:55667","doi":null,"is_oa":false,"landing_page_url":"https://www.zora.uzh.ch/55667","pdf_url":null,"source":{"id":"https://openalex.org/S4306401281","display_name":"Zurich Open Repository and Archive (University of Zurich)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I202697423","host_organization_name":"University of Zurich","host_organization_lineage":["https://openalex.org/I202697423"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Paolella, Marc S; Broda, Simon (2011). Expected shortfall for distributions in finance. In: Cizek, Pavel; H\u00e4rdle, Wolfgang K; Weron, Rafal. Statistical Tools for Finance and Insurance. Berlin / Heidelberg: Springer, 57-99.","raw_type":"info:eu-repo/semantics/bookPart"},{"id":"pmh:uvapub:oai:dare.uva.nl:publications/b0c58dce-4c06-4a97-987d-338ab47102f1","doi":null,"is_oa":false,"landing_page_url":"https://dare.uva.nl/personal/pure/en/publications/expected-shortfall-for-distributions-in-finance(b0c58dce-4c06-4a97-987d-338ab47102f1).html","pdf_url":null,"source":{"id":"https://openalex.org/S4306401843","display_name":"Data Archiving and Networked Services (DANS)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1322597698","host_organization_name":"Royal Netherlands Academy of Arts and Sciences","host_organization_lineage":["https://openalex.org/I1322597698"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Statistical tools for finance and insurance, 57 - 99","raw_type":"info:eu-repo/semantics/bookpart"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"display_name":"Decent work and economic growth","id":"https://metadata.un.org/sdg/8","score":0.550000011920929}],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":40,"referenced_works":["https://openalex.org/W94194614","https://openalex.org/W97000410","https://openalex.org/W371215106","https://openalex.org/W608889345","https://openalex.org/W634268569","https://openalex.org/W1515913836","https://openalex.org/W1536099054","https://openalex.org/W1544896244","https://openalex.org/W1545134755","https://openalex.org/W1548802052","https://openalex.org/W1549370794","https://openalex.org/W1584005513","https://openalex.org/W1596086225","https://openalex.org/W1605266637","https://openalex.org/W1834844275","https://openalex.org/W1976855018","https://openalex.org/W1982914322","https://openalex.org/W1989899182","https://openalex.org/W2017304680","https://openalex.org/W2022894179","https://openalex.org/W2032983618","https://openalex.org/W2034661498","https://openalex.org/W2046406675","https://openalex.org/W2071505782","https://openalex.org/W2076209196","https://openalex.org/W2077347944","https://openalex.org/W2133141024","https://openalex.org/W2217204231","https://openalex.org/W2331747324","https://openalex.org/W2486175508","https://openalex.org/W2568334807","https://openalex.org/W3124570132","https://openalex.org/W3125246470","https://openalex.org/W4205778870","https://openalex.org/W4252418167","https://openalex.org/W4256170606","https://openalex.org/W4302802025","https://openalex.org/W6632735703","https://openalex.org/W6987337520","https://openalex.org/W7075308508"],"related_works":["https://openalex.org/W2585522699","https://openalex.org/W2151667938","https://openalex.org/W2382695015","https://openalex.org/W2047793472","https://openalex.org/W2784499957","https://openalex.org/W2024365941","https://openalex.org/W7065764592","https://openalex.org/W3122365562","https://openalex.org/W1631574696","https://openalex.org/W2109266498"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":3},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":5},{"year":2018,"cited_by_count":4},{"year":2017,"cited_by_count":5},{"year":2016,"cited_by_count":5},{"year":2015,"cited_by_count":4},{"year":2014,"cited_by_count":4},{"year":2012,"cited_by_count":1}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2016-06-24T00:00:00"}
