What is the difference between VAR and expected shortfall (ES) as measure of market risk?

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Financial Institutions Management A Risk Management Approach

ISBN: 978-0071051590

8th edition

Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders

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Question Posted: Dec 17, 2015 04:58 AM

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What is the difference between VAR and expected shortfall (ES) as measure of market risk?

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VAR corresponds to a specific point of loss on the probability distribution It does not provide info...View the full answer

Financial Institutions Management A Risk Management Approach

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