An evaluation and comparison of Value at Risk and Expected Shortfall
As a risk measure, Value at Risk (VaR) is neither sub-additive nor coherent. These drawbacks have coerced regulatory authorities to introduce and mandate Expected Shortfall (ES) as a mainstream regulatory risk management metric. VaR is, however, still needed to estimate the tail conditional expectat...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
LLC "CPC "Business Perspectives"
2018-10-01
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| Series: | Investment Management & Financial Innovations |
| Subjects: | |
| Online Access: | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/11000/imfi_2018_04_Burdorf.pdf |