Weird or pragmatic: VAR-based back-tests for expected shortfall
Expected shortfall is hard to back-test, critics say – but the search for a solution is underway
Expected shortfall may be more conservative than VAR, but there are backtesting and stability concerns
In this white paper, Gordon Russell, Global Head of Risk at Broadridge Investment Management Solutions argues that the chances of survival in this new environment will be greater for funds that implement solutions to efficiently and cost-effectively manage data and risk.
More Value-at-risk (var) articles
Volume 9, Issue 3, 2014
Most advanced measurement approaches cannot simultaneously capture the overall dependence between operational risk components and be easy to use and understand. This paper proposes a mutual information-based...
Volume 8, Issue 2 (2014)
Volume 17, Issue 4 (2014)
Some banks worry they may not have enough data to implement expected shortfall safely
We investigate the empirical performance of hedging strategies based on Greeks, such as Delta and Delta-Gamma, for (European-style) crude oil options in a generalized autoregressive conditional heteroscedasticity...
How to actively manage the value-at-risk of energy derivatives
We show that the conservative estimate of the value-at-risk (VaR) for the sum of d random losses with given identical marginals and finite mean is equivalent to the corresponding conservative estimate...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.