منابع

Acerbi, C. and Tasche, D. (2001). Expected shortfall: a natural coherent alternative to value at risk. Economic Notes, 31:379–388.

Acerbi, C., Nordio, C., and Sirtori, C. (2001). Expected Shortfall as a Tool for Financial Risk Management. Abaxbank Working Paper arXiv:condmat/ 0102304.

Artzner, P., Delbaen, F., Eber, J. M., and Heath, D. (1999). Coherent Measures of Riak. Mathematical Finance, 9:203–228

Danielsson, J., Jorgensen, B. N., Sarma, M., Samorodnitsky, G., and de Vries,C. G. (2005). Subadditivity re–examined: The case for value–at–risk. www.RiskResearch.org.

McNeil, A. J., and Frey, R., 2000, Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach, Journal of Empirical Finance 7, 271–300.

Pattarathammas, S., Mokkhavesa, S., and Nilla, P., (2008). Value-at-Risk and Expected Shortfall under Extreme Value Theory  Framework: An Empirical Study on Asian Markets.