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Why Risk Is So Hard to Measure

Gespeichert in:

Personen und Körperschaften: Danielsson, Jon (VerfasserIn), Zhou, Chen (Sonstige)
Weitere Verfasser: Zhou, Chen [Sonstige]
Format: E-Book
Sprache: Englisch
veröffentlicht:
[S.l.] SSRN [2016]
Gesamtaufnahme: De Nederlandsche Bank Working Paper
Quelle: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Details
Zusammenfassung: This paper analyzes the robustness of standard techniques for risk analysis, with a special emphasis on the Basel III risk measures. We focus on the difference between value-at-risk and expected shortfall, their small sample properties, the scope for manipulating risk measures and how estimation can be improved. Overall, the paper find that risk forecasts are extremely uncertain at low sample sizes, with value-at-risk more accurate than expected shortfall, while value-at-risk is easily manipulated without violating regulations. Finally the implications for practitioners and regulators are discussed along with best practice suggestions
Beschreibung: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 22, 2016 erstellt
Umfang: 1 Online-Ressource (29 p)
DOI: 10.2139/ssrn.2597563
Zugang: Open Access