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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| Format: | Article |
| Language: | English |
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MDPI AG
2018-06-01
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| Series: | Risks |
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| Online Access: | http://www.mdpi.com/2227-9091/6/2/61 |