The basics of Value at Risk and Expected Shortfall
Value at Risk and Expected Shortfall are common risk measures. Here is a quick explanation. Ingredients The first two ingredients are each a number: The time horizon — how many days do we look ahead?...
View ArticleThe estimation of Value at Risk and Expected Shortfall
An introduction to estimating Value at Risk and Expected Shortfall, and some hints for doing it with R. Previously “The basics of Value at Risk and Expected Shortfall” provides an introduction to the...
View ArticleThe incoherence of risk coherence
What coherent risk measures are, why some people think coherence is important, and why I don’t. The rules A risk measure is considered to be coherent if it satisfies some mathematical properties. They...
View ArticleAn infelicity with Value at Risk
More risk does not necessarily mean bigger Value at Risk. Previously “The incoherence of risk coherence” suggested that the failure of Value at Risk (VaR) to be coherent is of little practical...
View ArticleThe scaling of Expected Shortfall
Getting Expected Shortfall given the standard deviation or Value at Risk. Previously There have been a few posts about Value at Risk and Expected Shortfall. Properties of the stable distribution were...
View ArticleHistorical Value at Risk versus historical Expected Shortfall
Comparing the behavior of the two on the S&P 500. Previously There have been a few posts about Value at Risk (VaR) and Expected Shortfall (ES) including an introduction to Value at Risk and...
View Article
More Pages to Explore .....