VAR versus expected shortfall – Risk.net

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.
March 9, 2013 - Editor
Category: Article

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.

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