Abstracts

We introduce an application and extension of the computation of Expected Shortfall as a Coherent Risk Measure, as proposed by Inui and Kijima (2005). Under this method a probability distribution is fitted to a weighted portfolio of financial instruments and its parameters are estimated. A Monte-Carlo simulation is then applied for this distribution to obtain N resampled portfolios, and their respective ES's are calculated and, with the use of Richardson's Extrapolation, a Coherent Expected Shortfall is obtained, all accordingly to the method proposed by Inui and Kijima (2005). Finally, the results are compared, and their biases as well, while Mean Squared Error's against the theoretical ES are calculated for inference. We show that quick computation of Coherent Expected Shortfall Measures is possible in an automated environment and further, there is a field for application in smaller time horizons.