why expected shortfall is better than var ?

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https://www.risk.net › risk-magazine › technical-paper › 1506669 › var-versus-expected-shortfall

https://www.risk.net › risk-magazine › technical-paper › 1506669 › var-versus-expected-shortfall
VAR versus expected shortfall – Risk.net
Expected shortfall satisfies this condition. VAR, however, does not because the weights assigned to quantiles greater than X are less than the weight assigned to the Xth quantile. Conclusions. Regulators make extensive use of VAR and its importance as a risk measure is therefore unlikely to diminish. However, expected shortfall has a number of advantages over VAR. This has led many financial institutions to use it as a risk measure internally.

https://quantdare.com › value-at-risk-or-expected-shortfall

https://quantdare.com › value-at-risk-or-expected-shortfall
Value at Risk or Expected Shortfall | Quantdare
Given a confidence level (α), the VaR is the αth percentile of the portfolio’s return distribution. For example, the VaR 95 of a portfolio is the 5th percentile of its return distribution. Expected Shortfall Definition. The Expected Shortfall (ES) or Conditional VaR (CVaR) is a statistic used to quantify the risk of a portfolio. Given a certain confidence level, this measure represents the expected loss when it is greater than the value of the VaR calculated with that confidence level.

https://www.risk.net › risk-management › market-risk › 1510018 › var-vs-expected-shortfall

https://www.risk.net › risk-management › market-risk › 1510018 › var-vs-expected-shortfall
VAR vs expected shortfall – Risk.net
The new rules of market risk management Amid 2020’s Covid-19-related market turmoil – with volatility and value-at-risk (VAR) measures soaring – some of the world’s largest investment banks took advantage of the extraordinary conditions to notch up record trading revenues. In a recent Risk.net… 03 Jun 2021 Market risk

https://medium.com › @sivarajesh.kasa › why-is-expected-shortfall-not-var-sub-additive-a-simple-intuitive-explanation-6ab81f1fea17

https://medium.com › @sivarajesh.kasa › why-is-expected-shortfall-not-var-sub-additive-a-simple-intuitive-explanation-6ab81f1fea17
Why is Expected Shortfall, not VaR, Sub-additive – Medium
VaR is a one-off case, so it can be worse than the individual distributions. However, Expected Shortfall measures the overall cases, so it is not bad as the sum of individual distributions.

https://meritis.fr › mesure-des-risques-financiers-pourquoi-preferer-lexpected-shortfall-a-la-var

https://meritis.fr › mesure-des-risques-financiers-pourquoi-preferer-lexpected-shortfall-a-la-var
Mesure des risques financiers : pourquoi préférer l’expected shortfall …
Si l’on prend la VaR 99% on obtient 10000, tandis que pour la Var 95% on obtient 1.000. L’expected shortfall, une mesure du risque de queue Depuis que la VaR est apparue, le concept de mesure du risque a fait du chemin.A tel point que la Fundamental Review of the Trading Book publiée en 2016 suggère carrément de remplacer la VaR par l’expected Shortfall.

https://www.qmr.ai › what-is-expected-shortfall-cvar

https://www.qmr.ai › what-is-expected-shortfall-cvar
What is Expected Shortfall (CVar)? A Friendly Introduction!
Expected Shortfall has several advantages over VaR, and that’s why many banks have used ES internally for years, even though only VaR is necessary to satisfy regulatory requirements. The Fundamental Review of the Trading Book (FRTB), a comprehensive suite of capital rules developed by the Basel Committee on Banking Supervision (BCBS) as part of Basel III, replaced VaR for CVaR. After about 20 years of applying value at risk with a 99% confidence level and a 10-day horizon, because of the …

https://www.quora.com › What-is-the-difference-between-VaR-and-expected-shortfall-as-measures-of-financial-risk?share=1

https://www.quora.com › What-is-the-difference-between-VaR-and-expected-shortfall-as-measures-of-financial-risk?share=1
What is the difference between VaR and expected shortfall as … – Quora
Expected shortfall is also known as Conditional VaR, or expected tail loss. The standard VaR is interpreted as the worst possible loss under normal conditions over a specified period for a given confidence level. For instance, one might say for a given month, the VaR is $1 mln at a 95% level of confidence, which can also be translated to under normal conditions in 95% of the months (e.g. 19 out of 20 months) we expect to lose no more that $1 mln.

https://www.portfolioprobe.com › 2012 › 10 › 23 › the-basics-of-value-at-risk-and-expected-shortfall

https://www.portfolioprobe.com › 2012 › 10 › 23 › the-basics-of-value-at-risk-and-expected-shortfall
The basics of Value at Risk and Expected Shortfall
Expected Shortfall has other meanings. Rather than expectation beyond VaR, it can be expectation beyond some requirement (which fits the name better than the concept we are describing). Probability level. Some people say 95% when I say 5%. No worries. We are always dealing with the tail — meaning something definitely less (in my terminology) than 50%. If a level is at the wrong end for your taste, just think one minus it.

https://en.wikipedia.org › wiki › Expected_shortfall

https://en.wikipedia.org › wiki › Expected_shortfall
Expected shortfall – Wikipedia
Expected shortfall is considered a more useful risk measure than VaR because it is a coherent spectral measure of financial portfolio risk. It is calculated for a given quantile -level q {displaystyle q} , and is defined to be the mean loss of portfolio value given that a loss is occurring at or below the q {displaystyle q} -quantile.

https://forum.bionicturtle.com › threads › var-versus-expected-shortfall-why-priips-has-got-it-wrong.9745

https://forum.bionicturtle.com › threads › var-versus-expected-shortfall-why-priips-has-got-it-wrong.9745
VAR versus expected shortfall: why Priips has got it wrong
High Priips volatility products correspond to products where the 2.5% VAR lands firmly in the KIP scenario, so that the volatility is determined by a near-worst case return of the underlying asset. For the expected shortfall approach, we use the region to the left of the worst 10% of returns, rather than the Priips 2.5%.

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