Conference Proceedings
Year
2000
Abstract
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. Dans: Les Journées Internationales de l’AFFI (CD-Rom). ESCP-EAP.