Robust and Practical Estimation for Measures of Tail Risk

We describe characteristics of various risk measures (Value-at-Risk, Expected Shortfall, etc.) that are used to analyze and quantify the tail risk exposure, and discuss their relative strengths and weaknesses. Emphasis is placed on presenting and comparing methodologies to compute and backtest estimates for these risk measures, from a practical perspective. We also consider the regulators' requirements regarding tail risk measures, especially in the framework provided by the most recent accords of the Basel Committee on Banking Regulation, known as Basel II, 2.5, and III