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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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Research Toward the Practical Application of Liquidity Risk Evaluation Methods
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 incorporatesExpand
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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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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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