Expected shortfall’s redeeming impact

Despite continuing to insist that the move from VaR to Expected Shortfall is wrongheaded and potentially dangerous, David Rowe argues that the shift may have a one important redeeming impact.

As is well known, the Basel Committee on Banking Supervision is insisting on the use of expected shortfall rather than value-at-risk in the calculation of regulatory market risk capital requirements. Despite continuing to insist this change is wrongheaded and potentially dangerous, David Rowe argues that the shift may have a one important redeeming impact. 

 

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