{"id":"W3121304191","doi":"10.1016/j.jbankfin.2021.106297","title":"Adjusted Expected Shortfall","year":2020,"lang":"en","type":"preprint","venue":"Journal of Banking & Finance","topic":"Risk and Portfolio Optimization","field":"Decision Sciences","cited_by":0,"is_retracted":false,"has_abstract":false,"ca_institutions":"Actua; University of Waterloo","funders":"Natural Sciences and Engineering Research Council of Canada","keywords":"Expected shortfall; Stochastic dominance; Econometrics; Value at risk; Benchmark (surveying); Tail risk; Economics; Actuarial science; Statistics; Mathematics; Risk management; Finance","routes":{"ca_aff":true,"ca_fund":true,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.001973401,0.0002925241,0.0009581769,0.000508369,0.0001071406,0.0004210885,0.001759806,0.0003258353,0.0002239403],"category_scores_gemma":[0.002094266,0.000227389,0.0005091808,0.0009003742,0.00006445087,0.0003469185,0.0004785034,0.00127754,0.00006508822],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00009025088,"about_ca_system_score_gemma":0.0005907384,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.00001391703,"about_ca_topic_score_gemma":0.000007920023,"domain_scores_codex":[0.9947686,0.0002459806,0.002122569,0.000502146,0.002097402,0.000263324],"domain_scores_gemma":[0.9934515,0.0004056973,0.003868043,0.0006716088,0.00148719,0.0001159153],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"design_other","study_design_gemma":"not_applicable","study_design_scores_codex":[0.0006125234,0.0002448733,0.03228004,0.00003796968,0.0002368678,0.001415539,0.006156685,0.347224,0.0004332205,0.002934949,0.2092726,0.3991507],"study_design_scores_gemma":[0.001711915,0.0006173907,0.2119672,0.00154776,0.0003040044,0.0005119189,0.0004641301,0.04982756,0.001364644,0.1923528,0.5378945,0.001436166],"study_design_candidate":"not_applicable","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.6476851,0.009513358,0.3106382,0.006631845,0.01106692,0.0005206501,0.0000561581,0.00009659665,0.01379121],"genre_scores_gemma":[0.9716353,0.005421343,0.02085886,0.0002953023,0.00110069,0.000003267377,0.000007836124,0.00003045855,0.0006468869],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.3977145,"threshold_uncertainty_score":0.9272656,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.1358453735710938,"score_gpt":0.3708108254622309,"score_spread":0.2349654518911371,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}