Journal of Operational Risk

Fat tails, expected shortfall and the Monte Carlo method: a note

Michael Brunner, Fabio Piacenza, Fabio Monti, Davide Bazzarello


The expected shortfall or conditional value-at-risk is discussed as often it is now recommended as an alternative to the risk measure of value-at-risk. At the same time, the Monte Carlo method is widely used as a way to derive a statistical approximation of the results. In this note, it is demonstrated that the Monte Carlo method can have extremely bad convergence properties for heavy tailed distributions in combination with specific risk measures, including conditional value-at-risk.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here