Title: Gini shortfall: A new coherent risk measure
Authors: Ricardas Zitikis - University of Western Ontario (Canada) [presenting]
Abstract: For quite some time, Value-at-Risk (VaR) was an appealing risk measure, and even the industry and regulatory standard for calculating risk capital in banking and insurance. VaR is still a standard, but its allure for applications has been criticized in many theoretical and empirical works. Expected Shortfall (ES) has been a much welcome breakthrough, in that it always rewards diversification and captures the magnitude of the tail risk. But what about tail variability? The new coherent risk measure, called Gini Shortfall (GS), provides a most welcome missing-piece in the encompassing risk-measurement puzzle. We will introduce and discuss the GS.