Value-at-risk versus expected shortfall: A practical perspective

@article{Yamai2005ValueatriskVE,
  title={Value-at-risk versus expected shortfall: A practical perspective},
  author={Yasuhiro Yamai and Toshinao Yoshiba},
  journal={Journal of Banking and Finance},
  year={2005},
  volume={29},
  pages={997-1015}
}
Value-at-Risk (VaR) has become a standard risk measure for financial risk management. However, many authors claim that there are several conceptual problems with VaR. Among these problems, an important one is that VaR disregards any loss beyond the VaR level. We call this problem the ‘‘tail risk’’. In this paper, we illustrate how the tail risk of VaR can cause serious problems in certain cases, cases in which expected shortfall can serve more aptly in its place. We discuss two cases… Expand
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