{"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":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.0007140301,0.0006644806,0.0003928868,0.0006062854,0.0001237896,0.001108561,0.0005200139,0.0005781876,0.01481698],"category_scores_gemma":[0.003985267,0.0001415885,0.0004366006,0.0004237494,0.000163087,0.001094393,0.000430258,0.0008359777,0.002752598],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0005088033,"about_ca_system_score_gemma":0.0004011512,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0004104622,"about_ca_topic_score_gemma":0.0003287917,"domain_scores_codex":[0.9995275,0.00007858334,0.00002275488,0.0001187114,0.0002099875,0.00004257745],"domain_scores_gemma":[0.999413,0.0001788974,0.00006509533,0.0001022317,0.0001949482,0.0000459153],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"simulation_or_modeling","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.000738077,0.0001836476,0.004197692,0.0002697306,0.0001978332,0.0003444871,0.00006023396,0.5495948,0.04802563,0.1363797,0.01230844,0.2476999],"study_design_scores_gemma":[0.00005537325,0.0002834906,0.01063145,0.00003096386,0.00007045457,0.0004268105,0.00002239514,0.8299885,0.01952325,0.1177371,0.02115102,0.00007914889],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"methods","genre_scores_codex":[0.1408661,0.001407615,0.7907019,0.0008165925,0.001178862,0.0001669563,0.003659585,0.002504477,0.05869801],"genre_scores_gemma":[0.8598584,0.0005581148,0.08677884,0.0001858874,0.0003290404,0.0001178072,0.002799605,0.0006376985,0.04873455],"genre_candidate":"methods","genre_consensus":"methods","teacher_disagreement_score":0.01481698,"threshold_uncertainty_score":0.0495677,"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."}}