A comparison of market risk measures from a twofold perspective: accurate and loss function
Under the new regulation based on Basel solvency framework, known as Basel III and Basel IV, financial institutions must calculate the market risk capital requirements based on the Expected Shortfall (ES) measure, replacing the Value at Risk (VaR) measure. In the financial literature, there are many...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
ACRN Publishing
2023-01-01
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| Series: | ACRN Journal of Finance and Risk Perspectives |
| Subjects: | |
| Online Access: | https://www.acrn-journals.eu/resources/JOFRP11e.pdf |