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Paper / 2015SMQ / 152135962042764
Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance
Chang, C-L. / Jiménez-Martín, J.A. / Maasoumi, E. / McAleer, M.J.
risk management / tail riskResource overview

Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance

Paper2015

by Chang, C-L., Jiménez-Martín, J.A., Maasoumi, E., McAleer, M.J.

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risk managementtail risk

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Suggested foundations for risk measurement and stress. Specialist prerequisites vary by paper.

Before you read

  1. Random Variables and Distributions

    Represent losses as a distribution rather than one forecast.

  2. Expected Shortfall and Other Tail Risk Measures

    Distinguish a loss quantile from the average loss in the tail.

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  1. VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo

    Compare risk estimators and their assumptions.

  2. Backtesting VaR and ES: Coverage Tests and Model Validation

    Check forecasts against realised losses.

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