Measuring Extreme Loss Risk
May 13, 2015 - Big Ideas
What is the best approach for measuring extreme loss risk? In their April 2015 paper entitled “Why Risk Is So Hard to Measure”, Jon Danielsson and Chen Zhou analyze the robustness of standard extreme loss risk analysis methods. They focus on: The difference in the reliabilities of forecasts based on Value-at-Risk (VaR) and expected shortfall (ES). The… Keep Reading