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Conference Proceedings (2000), Les Journées Internationales de l'AFFI (CD-Rom), ESCP-EAP

Beyond the VaR

The concept of Value at Risk (VaR) is now considered as the standard measure of risk. The VaR of a position is a single number whose aim is to allow to measure and summarize the risk of this position. As the VaR is not in general a sufficient statistics of risk, it is interesting to know what the risk is beyond the VaR. This paper addresses the following issue: what is the expected loss of a position knowing that the loss is greater than the VaR? A simple statistical framework is developed to answer this question and an empirical study is presented with several VaR methods: the extreme value distribution, the unconditional normal distribution and conditional normal processes.

LONGIN, F. (2000). Beyond the VaR. In: Les Journées Internationales de l'AFFI (CD-Rom). ESCP-EAP.