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- Publications
- Influence
Value-at-risk versus expected shortfall: A practical perspective
- Yasuhiro Yamai, Toshinao Yoshiba
- Economics
- 1 April 2005
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, an… Expand
Comparative Analyses of Expected Shortfall and Value-at-Risk: Their Estimation Error, Decomposition, and Optimization
- Yasuhiro Yamai, Toshinao Yoshiba
- Mathematics
- 2002
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 of… Expand
- 128
- 8
- PDF
Research Toward the Practical Application of Liquidity Risk Evaluation Methods
- Yoshifumi Hisata, Yasuhiro Yamai
- Economics
- 2000
This paper proposes a practical framework for the quantification of Liquidity-adjusted Value at Risk ("L-VaR") incorporating the market liquidity of financial products. This framework incorporates… Expand
- 61
- 6
- PDF
Comparative Analyses of Expected Shortfall and Value-at-Risk (3): Their Validity under Market Stress
- Yasuhiro Yamai, Toshinao Yoshiba
- Economics
- 2002
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… Expand
- 62
- 5
- PDF
On the Validity of Value-at-Risk: Comparative Analyses with Expected Shortfall
- Yasuhiro Yamai, Toshinao Yoshiba
- Economics
- 2002
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… Expand
- 134
- 3
- PDF
Comparative Analyses of Expected Shortfall and Value-at-Risk (2): Expected Utility Maximization and Tail Risk
- Yasuhiro Yamai, Toshinao Yoshiba
- Economics
- 2002
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 studying… Expand
- 62
- 3
- PDF
Comparative analyses of expected shortfall and value-at-risk under market stress 1
- Yasuhiro Yamai, Toshinao Yoshiba
- Economics
- 2002
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… Expand
- 25
- 1
- PDF
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 of… Expand
- 15
- 1
- PDF
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