What is the Best Risk Measure in Practice? A Comparison of Standard Measures
What is the Best Risk Measure in Practice? A Comparison of Standard Measures
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DOI：
10.2139/ssrn.2370378
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发表时间：
2013-12
期刊：
影响因子：
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通讯作者：
Susanne Emmer;M. Kratz;Dirk Tasche
中科院分区：
文献类型：
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作者：
Susanne Emmer;M. Kratz;Dirk Tasche
预期缺口 (ES) 已被广泛认为是一种概念上优于风险价值 (VaR) 的风险衡量标准。但与此同时，它也因回测相关问题而受到批评。特别是，ES 被发现不可导出，这意味着 ES 的回溯测试不如 VaR 的回溯测试那么直接。 Expectiles 被认为是 ES 和 VaR 的潜在更好替代品。在本文中，我们重新审视了普遍接受的风险度量的理想属性，如一致性、同调可加性、鲁棒性和引出性。我们检查 VaR、ES 和 Expectiles，了解它们是否喜欢这些属性，特别关注 Expectiles。我们还考虑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 ES 的估计和回测存在一些注意事项，但它可以被认为是一个很好的风险衡量标准。特别是，没有足够的证据证明在应用程序中用 Expectiles 全面替代 ES 是合理的，特别是当我们提供了一种用于 ES 回测的替代方法时。
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 criticized for issues relating to backtesting. In particular, ES has been found not to be elicitable which means that backtesting for ES is less straight-forward 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. In particular, there is no sufficient evidence to justify an all-inclusive replacement of ES by Expectiles in applications, especially as we provide an alternative way for backtesting of ES.