英文标题：
《What is the best risk measure in practice? A comparison of standard
measures》
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作者：
Susanne Emmer, Marie Kratz, Dirk Tasche
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最新提交年份：
2015
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英文摘要：
Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR). At the same time, however, it has been criticised for issues relating to backtesting. In particular, ES has been found not to be elicitable which means that backtesting for ES is less straightforward than, e.g., backtesting for VaR. Expectiles have been suggested as potentially better alternatives to both ES and VaR. In this paper, we revisit commonly accepted desirable properties of risk measures like coherence, comonotonic additivity, robustness and elicitability. We check VaR, ES and Expectiles with regard to whether or not they enjoy these properties, with particular emphasis on Expectiles. We also consider their impact on capital allocation, an important issue in risk management. We find that, despite the caveats that apply to the estimation and backtesting of ES, it can be considered a good risk measure. As a consequence, there is no sufficient evidence to justify an all-inclusive replacement of ES by Expectiles in applications. For backtesting ES, we propose an empirical approach that consists in replacing ES by a set of four quantiles, which should allow to make use of backtesting methods for VaR. Keywords: Backtesting; capital allocation; coherence; diversification; elicitability; expected shortfall; expectile; forecasts; probability integral transform (PIT); risk measure; risk management; robustness; value-at-risk
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中文摘要：
预期缺口（ES）已被广泛接受为一种风险度量，在概念上优于风险价值（VaR）。然而，与此同时，它也因与回溯测试相关的问题而受到批评。特别是，ES被发现是不可引出的，这意味着ES的回溯测试不如VaR的回溯测试那么简单。预期值被认为是ES和VaR的潜在更好的替代品。在本文中，我们重新讨论了风险度量的普遍接受的理想属性，如一致性、协单调可加性、鲁棒性和可引出性。我们检查VaR、ES和Expectiles是否享受这些属性，特别强调Expectiles。我们还考虑了它们对资本配置的影响，这是风险管理中的一个重要问题。我们发现，尽管存在适用于ES估计和回溯测试的警告，但它可以被视为一个良好的风险度量。因此，没有足够的证据证明在应用中用预期值全面替代ES是合理的。对于回测ES，我们提出了一种经验方法，将ES替换为一组四个分位数，这应该允许对VaR使用回测方法。关键词：回测；资本配置；一致性；多元化启发性；预期短缺；期待的；预测；概率积分变换；风险度量；风险管理；稳健性；风险价值
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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