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Value-at-risk versus expected shortfall: A practical perspective
Value-at-Risk (VaR) has become a standard risk measure for financial risk management. However, many authors claim that there are several conceptual problems with VaR. Among these problems, anExpand
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Comparative Analyses of Expected Shortfall and Value-at-Risk: Their Estimation Error, Decomposition, and Optimization
We compare expected shortfall with value-at-risk (VaR) in three aspects: estimation errors, decomposition into risk factors, and optimization. We describe the advantages and the disadvantages ofExpand
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Comparative Analyses of Expected Shortfall and Value-at-Risk (3): Their Validity under Market Stress
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, weExpand
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On the Validity of Value-at-Risk: Comparative Analyses with Expected Shortfall
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 thatExpand
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Comparative Analyses of Expected Shortfall and Value-at-Risk (2): Expected Utility Maximization and Tail Risk
We compare expected shortfall and value-at-risk (VaR) in terms of consistency with expected utility maximization and elimination of tail risk. We use the concept of stochastic dominance in studyingExpand
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Maximum likelihood estimation of skew-t copulas with its applications to stock returns
ABSTRACT The multivariate Student-t copula family is used in statistical finance and other areas when there is tail dependence in the data. It often is a good-fitting copula but can be improved onExpand
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The Intraday Market Liquidity of Japanese Government Bond Futures
We investigate the intraday market liquidity of the Japanese government bond (JGB) futures. First, we overview the movement of various market liquidity indicators during the past decade, classifyingExpand
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Comparative analyses of expected shortfall and value-at-risk under market stress 1
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, weExpand
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Comparative Analyses of Expected Shortfall and VaR : their estimation error , decomposition , and optimization
We compare expected shortfall with Value-at-Risk (VaR) in three aspects: estimation errors, decomposition into risk factors, and optimization. We describe the advantages and the disadvantages ofExpand
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Model Risk and Its Control
TLDR
In this paper, we analyze model risks separately in pricing models and risk measurement models and discuss possible steps to control these risks. Expand
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