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  • 标题:On the Validity of Value-at-Risk: Comparative Analyses with Expected Shortfall
  • 本地全文:下载
  • 作者:Yasuhiro Yamai ; Toshinao Yoshiba
  • 期刊名称:Monetary and Economic Studies
  • 印刷版ISSN:0288-8432
  • 出版年度:2002
  • 卷号:20
  • 期号:1
  • 出版社:Bank of Japan, Institute for Monetary and Economic Studies
  • 摘要:Value-at-risk (VaR) has become a standard measure used in financial risk management due to its conceptual simplicity, computational facility, and ready applicability. However, many authors claim that VaR has several conceptual problems. Artzner et al. (1997, 1999), for example, have cited the following shortcomings of VaR: (1) VaR measures only percentiles of profit-loss distributions, and thus disregards any loss beyond the VaR level (“tail risk”), and (2) VaR is not coherent since it is not sub-additive. To alleviate the problems inherent in VaR, the use of expected shortfall is proposed. In this paper, we provide an overview of studies comparing VaR and expected shortfall to draw practical implications for financial risk management. In particular, we illustrate how tail risk can bring serious practical problems in some cases.
  • 关键词:Value-at-risk; Expected shortfall; Tail risk; Subadditivity
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