Comparative Analyses of Expected Shortfall and VaR
| Author | : Yasuhiro Yamai |
| Publisher | : |
| Total Pages | : 56 |
| Release | : 2001 |
| ISBN-10 | : UCSD:31822030019129 |
| ISBN-13 | : |
| Rating | : 4/5 ( Downloads) |
Book Synopsis Comparative Analyses of Expected Shortfall and VaR by : Yasuhiro Yamai
Download or read book Comparative Analyses of Expected Shortfall and VaR written by Yasuhiro Yamai and published by . This book was released on 2001 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: Expected shortfall is compared with Value-at-Risk (VaR) in three aspects: estimation errors, decomposition into risk factors, and optimization. Advantages and disadvantages of expected shortfall over VaR are shown, and that expected shortfall is easily decomposed (needing a larger size of sample than VaR for the same level of accuracy) and optimized, while VaR is not.
