More Accurate Measurement for Enhanced Controls: VaR vs ES?
Dominique Guegan (dominique.guegan@univ-paris1.fr) and
Bertrand K. Hassani (bertrand.hassani@gmail.com)
Additional contact information
Dominique Guegan: Centre d'Economie de la Sorbonne, https://cv.archives-ouvertes.fr/dominique-guegan
Bertrand K. Hassani: Grupo Santander et Centre d'Economie de la Sorbonne, https://centredeconomiesorbonne.univ-paris1.fr
Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne
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
Keywords: Risk measures; Marginal distributions; Level of confidence; Capital requirement (search for similar items in EconPapers)
JEL-codes: C14 G28 G32 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2016-02
New Economics Papers: this item is included in nep-ban, nep-fmk and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:16015
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