Asymptotic equivalence of conservative VaR-and ES-based capital charges

@inproceedings{Puccetti2012AsymptoticEO,
  title={Asymptotic equivalence of conservative VaR-and ES-based capital charges},
  author={Giovanni Puccetti and Ludger R{\"u}schendorf},
  year={2012}
}
We show that the conservative estimate of the Value-at-Risk (VaR) for the sum of d random losses with given identical marginals and finite mean is equivalent to the corresponding conservative estimate of the Expected Shortfall (ES), in the limit as d → ∞. Examples of interest in quantitative risk management show that the equivalence holds also for relatively small risk portfolios. When the random losses Li have infinite first moment, we show that VaR can be arbitrarily large with respect to the… CONTINUE READING
7 Citations
8 References
Similar Papers

References

Publications referenced by this paper.
Showing 1-8 of 8 references

Challenges and pitfalls in measuring operational risk from loss data

  • E. International Settlements. Cope, G. Mignola, G. Antonini, R. Ugoccioni
  • J. Operational
  • 2009
Highly Influential
9 Excerpts

Economic capital allocations for non-negative portfolios of dependent risks

  • E. Furman, Z. Landsman
  • Astin Bull. 38(2), 601–619. Lai, T. L. and H…
  • 2008
1 Excerpt

Similar Papers

Loading similar papers…