Tabulations for value at risk and expected shortfall

Saralees Nadarajah; Stephen Chan; Emmanuel Afuecheta

doi:10.1080/03610926.2015.1116572

Tabulations for value at risk and expected shortfall

Saralees Nadarajah^*
, Stephen Chan
, Emmanuel Afuecheta

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

5 Scopus citations

Abstract

Value at risk and expected shortfall are the two most popular measures of financial risk. Here, we tabulate expressions for both these measures for over 100 parametric distributions, including all commonly known distributions, and illustrate a data application. We expect that this collection of expressions could serve as a source of reference and encourage further research with respect to measures of financial risk.

Original language	English
Pages (from-to)	5956-5984
Number of pages	29
Journal	Communications in Statistics - Theory and Methods
Volume	46
Issue number	12
DOIs	https://doi.org/10.1080/03610926.2015.1116572
State	Published - 18 Jun 2017
Externally published	Yes

Bibliographical note

Publisher Copyright:
© 2017 Taylor & Francis Group, LLC.

Keywords

Expected shortfall
parametric distributions
value at risk

ASJC Scopus subject areas

Statistics and Probability

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10.1080/03610926.2015.1116572

Cite this

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abstract = "Value at risk and expected shortfall are the two most popular measures of financial risk. Here, we tabulate expressions for both these measures for over 100 parametric distributions, including all commonly known distributions, and illustrate a data application. We expect that this collection of expressions could serve as a source of reference and encourage further research with respect to measures of financial risk.",

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AU - Chan, Stephen

AU - Afuecheta, Emmanuel

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AB - Value at risk and expected shortfall are the two most popular measures of financial risk. Here, we tabulate expressions for both these measures for over 100 parametric distributions, including all commonly known distributions, and illustrate a data application. We expect that this collection of expressions could serve as a source of reference and encourage further research with respect to measures of financial risk.

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KW - parametric distributions

KW - value at risk

UR - https://www.scopus.com/pages/publications/85014746236

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M3 - Article

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JO - Communications in Statistics - Theory and Methods

JF - Communications in Statistics - Theory and Methods

IS - 12

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Tabulations for value at risk and expected shortfall

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

Access to Document

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Cite this