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}
}

• Yasuhiro Yamai, Toshinao Yoshiba
• Published 2002
• Mathematics
• Monetary and and Economic Studies

imes.boj.or.jp

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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.