• Corpus ID: 248239931

Calibrating distribution models from PELVE

  title={Calibrating distribution models from PELVE},
  author={Hirbod Assa and Liyuan Lin and Ruodu Wang},
The Value-at-Risk (VaR) and the Expected Shortfall (ES) are the two most popular risk measures in banking and insurance regulation. To bridge between the two regulatory risk measures, the Probability Equivalent Level of VaR-ES (PELVE) was recently proposed to convert a level of VaR to that of ES. It is straightforward to compute the value of PELVE for a given distribution model. In this paper, we study the converse problem of PELVE calibration, that is, to find a distribution model that yields… 



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