MASTERCLASS VAR vs expected shortfall - Value-at-risk is often criticised as not presenting a full picture of the risks a company faces. In the second of a series of articles explaining recent developments in risk management and derivatives pricing, the author discusses the limitations of VAR and the relative advantages of an alternative measure, expected shortfall.
| Year of publication: |
2006
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| Authors: | Hull, John |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 19.2006, 12, p. 48-49
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