Corpus ID: 1727939

Comparative Analyses of Expected Shortfall and Value-at-Risk: Their Estimation Error, Decomposition, and Optimization

@article{Yamai2002ComparativeAO,
  title={Comparative Analyses of Expected Shortfall and Value-at-Risk: Their Estimation Error, Decomposition, and Optimization},
  author={Yasuhiro Yamai and Toshinao Yoshiba},
  journal={Monetary and and Economic Studies},
  year={2002},
  volume={20},
  pages={87-121}
}
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 expected shortfall over VaR. We show that expected shortfall is easily decomposed and optimized while VaR is not. We also show that expected shortfall needs a larger size of sample than VaR for the same level of accuracy. 
128 Citations
Value-at-risk versus expected shortfall: A practical perspective
  • 279
  • PDF
On the evaluation of marginal expected shortfall
  • 9
On the Evaluation of Marginal Expected Shortfall
On the significance of expected shortfall as a coherent risk measure
  • 108
  • PDF
...
1
2
3
4
5
...

References

SHOWING 1-10 OF 24 REFERENCES
Beyond VaR: from measuring risk to managing risk
  • Helmut Mausser, D. Rosen
  • Economics, Computer Science
  • Proceedings of the IEEE/IAFE 1999 Conference on Computational Intelligence for Financial Engineering (CIFEr) (IEEE Cat. No.99TH8408)
  • 1999
  • 117
  • PDF
On the coherence of expected shortfall
  • 1,294
  • PDF
Risk contributions and performance measurement
  • 274
  • Highly Influential
Optimization of conditional value-at risk
  • 4,424
  • Highly Influential
  • PDF
Coherent Measures of Risk
  • 7,315
  • PDF
TAKING VAR TO PIECES
  • 64
  • PDF
A Simplified Method for Calculating the Credit Risk of Lending Portfolios
  • 16
  • PDF
...
1
2
3
...