Value at Rist: Regulatory and Other Applications, Methods, and Criticism

Alois Paul Knobloch
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Alois Paul Knobloch: University of Hohenheim

A chapter in Risk Management, 2005, pp 99-124 from Springer

Abstract: Abstract This article surveys several applicational as well as theoretical aspects of Value at Risk as a measure of risk. First, we compare different calculation methods with respect to accuracy, implementational issues as well as suitability for resource allocation and optimization. We contribute to capital allocation based on Value at Risk and provide an optimization model. Afterwards, we concentrate on shortcomings of Value at Risk as a measure of risk from a theoretical point of view. The focus is on the relation to decision theory and to coherent measures of risk. Alternatives to Value at Risk such as the lower partial moment one or the tail conditional expectation are included. We give some reasons to prefer the latter as a measure of risk.

Keywords: Value at Risk; Capital Allocation; Risk Measures; Risk Management; Tail Conditional Expectation (search for similar items in EconPapers)
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-26993-9_5

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DOI: 10.1007/3-540-26993-2_5

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