More Accurate Measurement for Enhanced Controls: VaR vs ES?

URL des Documents de travail : https://centredeconomiesorbonne.univ-paris1.fr/documents-de-travail-du-ces/ Voir aussi l'article basé sur ce document de travail paru dans "Journal of International Financial Markets, Institutions and Money", volume 54, 2018, pages 152-165Documents de travail du Centre d'Economie de la Sorbonne 2016.15 - ISSN : 1955-611XThis paper analyses how risks are measured in financial institutions, for instance Market, Credit, Operational, etc with respect to the choice of the risk measures, the choice of the distributions used to model them and the level of confidence selected. We discuss and illustrate the characteristics, the paradoxes and the issues observed comparing the Value-at-Risk and the Expected Shortfall in practice. This paper is built as a differential diagnosis and aims at discussing the reliability of the risk measures as long as making some recommendations