On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles

On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles

This article reviews two leading measures of financial risk and an emerging alternative. Embraced by the Basel accords, value-at-risk and expected shortfall are the leading measures of financial risk. Expectiles offset the weaknesses of value-at-risk (VaR) and expected shortfall. Indeed, expectiles...

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Bibliographic Details
Main Author: James Ming Chen
Format: Article
Language:English
Published: MDPI AG 2018-06-01
Series:Risks
Subjects:
expectiles
risk measures
expected shortfall
value-at-risk
VaR
Basel accords
elicitability
coherence
backtesting
robustness
gain/loss ratios
Online Access:http://www.mdpi.com/2227-9091/6/2/61

Internet

http://www.mdpi.com/2227-9091/6/2/61

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