VaR and expected shortfall

Due to its known weaknesses Value at Risk (VaR) has been modified to have a better market risk measurement model. 2007-2008 global financial crisis has increased the necessity to incorporate market liquidity into widely used models. This is to raise the required regulatory capital for trading portfolios since large marked-to-market losses have been observed to hit the global financial system. In line with the new coming regulations, this study applies a Monte-Carlo based approach on Turkish Banks’ hypothetical trading portfolios to measure their total market risk.

11p nguyenminhlong19 21-04-2020 6 0   Download

Value at Risk (VaR) is the most popular market risk measure as it summarizes in one figure the exposure to different risk factors. It had been around for over a decade when Expected Shortfall (ES) emerged to correct its shortcomings. Both risk measures can be estimated under several models. We explore the application of a parametric model to fit the joint distribution of risk factor returns based on multivariate finite Gaussian Mixtures, derive a closed-form expression for ES under this model and estimate risk measures for a multi-asset portfolio over an extended period.

17p cothumenhmong4 24-03-2020 24 2   Download

This paper aims to provide a new risk measure for portfolio management in Vietnam by incorporating investor’s risk aversion into current risk measures such as value at risk (VaR) and expected shortfall (ES). This measure shares several desirable characteristics with the coherent risk measures, as illustrated in Artzner et al. (1997).

17p danhnguyentuongvi27 18-12-2018 25 0   Download