Expected shortfall’s silver lining

David Rowe: calculating expected shortfall is a massive exercise

Readers of this column will not be surprised that I consider the shift from value-at-risk to expected shortfall (ES) in the Basel Committee on Banking Supervision's revised trading book rules to be at best useless and at worst dangerous. In my view, regulators wanted to give the impression they were doing something about what we have come to call black swans. Uninformed politicians and the general public would easily be lulled into thinking that "incorporating assessment of the complete tail of

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