A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations

A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations

In both financial theory and practice, Value-at-risk (VaR) has become the predominant risk measure in the last two decades. Nevertheless, there is a lively and controverse on-going discussion about possible alternatives. Against this background, our first objective is to provide a current overview o...

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Bibliographic Details
Main Authors: Matthias Fischer, Thorsten Moser, Marius Pfeuffer
Format: Article
Language:English
Published: MDPI AG 2018-12-01
Series:Risks
Subjects:
VaR
expected shortfall
median shortfall
lambda VaR
range VaR
entropic VaR
expectile VaR
glue VaR
Wang distortion
risk measures based on benchmark loss distributions
Online Access:https://www.mdpi.com/2227-9091/6/4/142

Internet

https://www.mdpi.com/2227-9091/6/4/142

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