English, Article edition: Measuring and regulating extreme risk Ulf Nielsson

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/25345
Physical Description
  • article
Language
  • English

Edition details

Title
  • Measuring and regulating extreme risk
Author
  • Ulf Nielsson
Physical Description
  • article
Notes
  • Purpose – The purpose of this paper is to discuss two important extensions to the well-known value-at-risk (VaR) methodology, namely extreme value theory (EVT) and expected shortfall (ES). Both of these extensions address the weaknesses of VaR, in particular the methodology's tendency to systematically underestimate risk of extreme market events. Design/​methodology/​approach – The theory of VaR and the two extensions are reviewed and the methodology is evaluated in light of the Basel II regulatory framework that calls for the use of VaR by financial institutions. Findings – The paper clarifies the use of VaR and its extensions to make practitioners more aware of the pitfalls and how to address them. It is recommended that the two extended measures of extreme event risk (i.e. EVT and ES) be included into every risk manager's information pool. Originality/​value – A compact review of these approaches and their regulatory connection has not previously been compiled. This review is of particular value to risk managers and policy markers given the turbulent market conditions of the past year.
  • Financial risk, Regulation, Risk analysis
  • RePEc:eme:jfrcpp:v:17:y:2009:i:2:p:156-171
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment