• Economics
  • Published 2002

Comparative Analyses of Expected Shortfall and Value-at-Risk (3): Their Validity under Market Stress

@inproceedings{Yamai2002ComparativeAO,
  title={Comparative Analyses of Expected Shortfall and Value-at-Risk (3): Their Validity under Market Stress},
  author={Yasuhiro Yamai and Toshinao Yoshiba},
  year={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 simulate asset returns with this distribution. With these simulated asset returns, we examine whether market stress affects the properties of VaR and expected shortfall. Our findings are as follows. First, VaR and expected shortfall may underestimate the risk of securities with fat- tailed properties… CONTINUE READING