VAR versus expected shortfall – Risk.net

March 9, 2013 by Bill Hodgson 2 Comments

Given the report about the unsuitability of Expected Shortfall and back-testing, here’s an article from 2007 by Risk which explains more. (subs)

VAR versus expected shortfall – Risk.net.

Research

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2 Responses to “VAR versus expected shortfall – Risk.net”

  1. carlarweir March 9, 2013 at 13:20

    Reblogged this on Carl A R Weir's Blog.

  2. Jon Skinner March 12, 2013 at 17:23

    This pinpoints in plain English the mathematical and practical problem with VaR (adding risks together can produce more than the sum of the parts which makes no common sense). Bring on ES…

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