Tabulations for value at risk and expected shortfall

Saralees Nadarajah, Stephen Chan and Emmanuel Afuecheta

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 12, 5956-5984

Abstract: Value at risk and expected shortfall are the two most popular measures of financial risk. Here, we tabulate expressions for both these measures for over 100 parametric distributions, including all commonly known distributions, and illustrate a data application. We expect that this collection of expressions could serve as a source of reference and encourage further research with respect to measures of financial risk.

Date: 2017
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DOI: 10.1080/03610926.2015.1116572

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