Properties of estimators of risk measures Expected Shortfall (ES) and Value– at-Risk (VaR)

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Published:
Oct 21, 2006
Issue
No. 60 (2006)
Section
Artykuły
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Joanna Olbryś
Wyższa Szkoła Ekonomiczna w Białymstoku
https://orcid.org/0000-0002-0928-0040

DOI: https://doi.org/10.22630/EIOGZ.2006.60.48
Keywords : Risk Measure Estimator, Value-at-Risk, Expected Shortfall, Open-end Investment Funds
Abstract
Concept of Value-at-Risk appears in 1994. Nowadays VaR is the most popular risk measure. Unfortunately, it fails to reward diversification, as it is not subadditive. In the search for a suitable alternative to VaR, Expected Shortfall (ES) has been characterized as the smallest coherent risk measure to dominate VaR. The aim of this paper is a presentation of the Expected Shortfall and Value-at-Risk estimators properties and an application of ES and VaR estimators to risk estimate examples on the Polish Open-end Investment Funds market. The paper also offers a comparison of ES and VaR estimators as the risk measures.

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How to Cite
Olbryś, J. (2006). Properties of estimators of risk measures Expected Shortfall (ES) and Value– at-Risk (VaR). Zeszyty Naukowe SGGW - Ekonomika I Organizacja Gospodarki Żywnościowej, (60), 269–277. https://doi.org/10.22630/EIOGZ.2006.60.48
References

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