Article: VAR versus expected shortfall - Risk.net

09 March 2013 | Bill Hodgson

Given the report about the unsuitability of Expected Shortfall and back-testing, here's an article from 2007 by Risk which explains more. (subs) VAR versus expected shortfall - Risk.net.


Reblogged this on Carl A R Weir's Blog.

This pinpoints in plain English the mathematical and practical problem with VaR (adding risks together can produce more than the sum of the parts which makes no common sense). Bring on ES...