Shortfall Deviation Risk: An alternative to risk measurement

We present the Shortfall Deviation Risk (SDR), a risk measure that represents the expected loss that occurs with certain probability penalized by the dispersion of results that are worse than such an expectation. SDR combines Expected Shortfall (ES) and Shortfall Deviation (SD), which we also introduce, contemplating two fundamental pillars of the risk concept, the probability of adverse events and the variability of an expectation, and considers extreme results. We demonstrate that SD is a gene...