  We study the properties of Expected Shortfall from the point of view of
financial risk management. This measure --- which emerges as a natural remedy
in some cases where Value at Risk (VaR) is not able to distinguish portfolios
which bear different levels of risk --- is indeed shown to have much better
properties than VaR. We show in fact that unlike VaR this variable is in
general subadditive and therefore it is a Coherent Measure of Risk in the sense
of reference (artzner)
