Value-at-risk versus expected shortfall: A practical perspective

By Yasuhiro Yamai, Toshinao Yoshiba. 2005

366 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/67e77c407b1c050d958531807c91669a0dab0e13

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. L. Nunes
2. Antonio Rúa
3. Xin Huang
4. Hao Zhou
5. Haibin Zhu
6. M. Nieto
7. Jun Cai
8. Ken Seng Tan

In Management Science and Operations Research

1. Ken Seng Tan
2. Jun Cai
3. Chengguo Weng
4. Yi Zhang
5. Yichun Chi
6. M. Nieto
7. Xin Huang
8. Hao Zhou

Citations in the corpus

• Optimal reinsurance under VaR and CTE risk measures (2008, background): “See, for example, Artzner, et al. (1999), Basak and Shapiro (2001), McNeil, et al. (2005), Cai and Li (2005), Inui and Kijima (2005) and Yamai and Toshiba (2005).”
• A framework for assessing the systemic risk of major financial institutions (2009, background): “In the framework of Merton (1974), suppose that the market value of a firm’s underlying assets follows a stochastic process: dV = µV dt + σV dW (5) where V is the firm’s asset value, µ, σ are the drift term and the volatility of the asset value, W is a Wiener process.”
• A wavelet-based assessment of market risk: The emerging markets case (2012, background): “() = [ | > ()] Under the Normal distribution, both the and the expected shortfall are scalar multiples of the standard deviation (see, for example, Yamai and Yoshiba (2005)).”
• Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis (2009, neutral): “The value-at-risk (VaR) measure is also based on the percentile distribution, but as shown by Inui and Kijima (2005), Yamai and Yoshiba (2005), and Embrechts, Lambrigger, and Wüthrich (2009), ES is a coherent measure of risk and while VaR is not.9”
• Systemic Risk Contributions (2011, positive): “2.1 Constructing the systemic risk indicator To construct a systemic risk indicator of a heterogeneous banking portfolio, we followed the structural approach of Vasicek (1991) for pricing the portfolio credit risk, which is also consistent with the Merton (1974) model for individual firm default.”
• Frontiers in VaR forecasting and backtesting (2016, background): “Therefore, ES is likely to gain prominence in the future; see, for example, Wu and Xiao (2002), Yamai and Yoshiba (2005), Komunjer (2007), Chen (2008), Chen et al. (2012), Lönnbark (2013), Stoyanov et al. (2013), Brandtner (in press) and Xu (in press) for some recent references on forecasting ES.”