Anonymous shelf assessment
Evaluating Expected Shortfall in Risk Management
Shelf score 7.5 / 10
On Expected Shortfall as a Performance Measure · Yoshitaka Yamai · Hiroshi Yoshiba · Boj
Published 23 March 2026
This work discusses the expected shortfall framework as a performance measure in risk management.
Overview
The book presents an analysis of expected shortfall, positioning it as a superior risk measure compared to Value at Risk (VaR). It delves into the concept of tail risk, which is critical for understanding potential extreme losses in financial contexts.
Targeted primarily at risk managers and quantitative analysts, the text aims to support compliance with Basel III regulations. Its concise nature suggests a focused exploration of the expected shortfall, making it a practical resource for professionals in the field.
Despite its shorter length, the book provides valuable insights into the importance of expected shortfall in risk assessment, highlighting its relevance in contemporary financial risk management practices.
By area & interest
Focus on Tail Risk
The book emphasises the significance of tail risk, which is often overlooked in traditional risk measures like VaR.
Practical Application
It serves as a practical guide for risk managers and compliance teams, particularly in the context of Basel III.
Concise Analysis
The shorter length of the book allows for a focused discussion, making it accessible for busy practitioners.
Basis of this assessment
The assessment is based on catalogue information and the provided descriptions without additional insights from Google Books or Open Library.
Strengths
The book effectively highlights the importance of expected shortfall as a critical measure in risk management, particularly in relation to tail risk.
Limitations
Its shorter length may limit the depth of exploration on certain topics within risk management.
Ideal reader
This book is ideal for risk managers and quantitative analysts seeking to enhance their understanding of risk measures and compliance with regulatory standards.