What Is the Best Risk Measure in Practice ? A Comparison of Standard Measures

@inproceedings{Emmer2015WhatIT,
  title={What Is the Best Risk Measure in Practice ? A Comparison of Standard Measures},
  author={Suzanne Emmer and Marie Kratz and Dirk Tasche},
  year={2015}
}
Expected shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to value-at-risk (VaR). At the same time, however, it has been criticized for issues relating to backtesting. In particular, ES has been found not to be elicitable, which means that backtesting for ES is less straightforward than, for example, backtesting for VaR. Expectiles have been suggested as potentially better alternatives to both ES and VaR. In this paper, we revisit the commonly accepted… CONTINUE READING
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