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What is the Best Risk Measure in Practice? A Comparison of Standard Measures
Year Of Publication: 2013
Month Of Publication: December
Resource Link: Click here to open
Pages: 22
Download Count: 0
View Count: 1309
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 1-1-2014
Publisher: Administrator
In this paper, we revisit commonly accepted desirable properties of risk measures like coherence, comonotonic additivity, robustness and elicitability. We check VaR, ES and Expectiles with regard to whether or not they enjoy these properties, with particular emphasis on Expectiles. We also consider their impact on capital allocation, an important issue in risk management. We find that, despite the caveats that apply to the estimation and backtesting of ES, it can be considered a good risk measure.
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(accessed 2014-01-01)
Emmer, Suzanne Sign in to follow this author
Tasche, Dirk Sign in to follow this author
Kratz, Marie Sign in to follow this author
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