What is Coherent Measure

What is Coherent Measure?

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Coherent measures: A popular measure which is coherent is Expected Shortfall. It is calculated from the average of all the P and Ls making up the tail percentile of interest. Assume that we are working with the 5 percent percentile, rather than quoting that number (it would be traditional VaR) instead compute the average of all the P&Ls in this 5 percent tail.

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