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  • 标题:Comparative Analyses of Expected Shortfall and Value-at-Risk (3): Their Validity under Market Stress
  • 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:3
  • 出版社:Bank of Japan, Institute for Monetary and Economic Studies
  • 摘要:In this paper, we compare value-at-risk (VaR) and expected shortfall under market stress. Assuming that the multivariate extreme value distribution represents asset returns under market stress, we simulate asset returns with this distribution. With these simulated asset returns, we examine whether market stress affects the properties of VaR and expected shortfall. Our findings are as follows. First, VaR and expected shortfall may underestimate the risk of securities with fat-tailed properties and a high potential for large losses. Second, VaR and expected shortfall may both disregard the tail dependence of asset returns. Third, expected shortfall has less of a problem in disregarding the fat tails and the tail dependence than VaR does.
  • 关键词:Value-at-risk; Expected shortfall; Market stress; Tail risk; Multivariate extreme value theory; Tail dependence
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