Raising Value at Risk

Julia Lynn Wirch

North American Actuarial Journal, 1999, vol. 3, issue 2, 106-115

Abstract: In this paper I consider the properties for a coherent risk measure, outlined by Artzner et al. (1996), and relate these requirements to a well-known measure, value at risk (VaR), which attempts to evaluate economic risk. I show how the usual method of calculating VaR does not adhere to the coherency requirements and discuss the implications of such a result. As well, I discuss the use of the mean excess loss function to help solve this problem.

Date: 1999
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DOI: 10.1080/10920277.1999.10595804

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