Shortfall-At-Risk

@aazzaa · Регистрация: 04.10.2015

Author24 — интернет-сервис помощи студентам

Здравствуйте, подскажите пожалуйста, метод оценки финансового риска Shortfall-At-Risk (SaR) это тоже самое что и метод Expected Shortfall (CVaR), просто другое название?

@RafalS · 09.10.2018, 11:44

Value at risk is the maximum loss which can occur to a particular portfolio in a given time-frame at a given confidence level. For example; The 1 month VAR for a portfolio of $1 million at 95% confidence interval is $10,000. It means that the maximum loss that can occur to this portfolio in 95% of the cases (95% probability) in this given month is 10k. Now the big question is, what about the remaining 5% of the cases? VAR doesn’t say anything about the losses which occur in the tail.

Here come “Expected Shortfall” into the picture. It calculates the average loss in the remaining 5% cases.

@aazzaa 0 / 0 / 2 Регистрация: 04.10.2015 Сообщений: 51
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	Shortfall-At-Risk 04.04.2018, 00:00. Показов 935. Ответов 1 Метки нет (Все метки) Здравствуйте, подскажите пожалуйста, метод оценки финансового риска Shortfall-At-Risk (SaR) это тоже самое что и метод Expected Shortfall (CVaR), просто другое название? 0

@RafalS 1 / 1 / 0 Регистрация: 28.09.2018 Сообщений: 10
	09.10.2018, 11:44	2
	Value at risk is the maximum loss which can occur to a particular portfolio in a given time-frame at a given confidence level. For example; The 1 month VAR for a portfolio of $1 million at 95% confidence interval is $10,000. It means that the maximum loss that can occur to this portfolio in 95% of the cases (95% probability) in this given month is 10k. Now the big question is, what about the remaining 5% of the cases? VAR doesn’t say anything about the losses which occur in the tail. Here come “Expected Shortfall” into the picture. It calculates the average loss in the remaining 5% cases. 0

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