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Article Dans Une Revue Risks Année : 2022

Equivalent Risk Indicators : VaR, TCE, and Beyond

Silvia Faroni
  • Fonction : Auteur
Krzysztof Ostaszewski
  • Fonction : Auteur

Résumé

While a lot of research concentrates on the respective merits of VaR and TCE, which are the two most classic risk indicators used by financial institutions, little has been written on the equivalence between such indicators. Further, TCE, despite its merits, may not be the most accurate indicator to take into account the nature of probability distribution tails. In this paper, we introduce a new risk indicator that extends TCE to take into account higher-order risks. We compare the quantiles of this indicator to the quantiles of VaR in a simple Pareto framework, and then in a generalized Pareto framework. We also examine equivalence results between the quantiles of high-order TCEs.
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Dates et versions

hal-04325627 , version 1 (06-12-2023)

Identifiants

  • HAL Id : hal-04325627 , version 1

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Silvia Faroni, Olivier Le Courtois, Krzysztof Ostaszewski. Equivalent Risk Indicators : VaR, TCE, and Beyond. Risks, 2022, 10 (8), 19 p. ⟨hal-04325627⟩

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