More Accurate Measurement for Enhanced Controls: VaR vs ES?

Abstract : This paper analyses how risks are measured in financial institutions, for instance Market, Credit, Operational, etc with respect to the choice of the risk measures, the choice of the distributions used to model them and the level of confidence selected. We discuss and illustrate the characteristics, the paradoxes and the issues observed comparing the Value-at-Risk and the Expected Shortfall in practice. This paper is built as a differential diagnosis and aims at discussing the reliability of the risk measures as long as making some recommendations.
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https://halshs.archives-ouvertes.fr/halshs-01281940
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Soumis le : jeudi 3 mars 2016 - 09:38:28
Dernière modification le : jeudi 8 novembre 2018 - 18:09:16
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  • HAL Id : halshs-01281940, version 1

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Dominique Guegan, Bertrand Hassani. More Accurate Measurement for Enhanced Controls: VaR vs ES?. 2016. ⟨halshs-01281940⟩

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