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
Volume 9, Issue 3, 2014
This panel will discuss ways to allocate resources and minimize potential exposure with a set of analytical tools to assess, simulate and quantify operational risk capital to improve business efficiency and performance across the enterprise.
More Value-at-risk (var) articles
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...
Given a finite set of m scenarios, computing a portfolio with the minimum value-at-risk (VaR) is computationally difficult: the portfolio VaR function is nonconvex, nonsmooth and has many local minimums....
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.