Nielsson, Ulf - In: Journal of Financial Regulation and Compliance 17 (2009) 2, pp. 156-171
Purpose – The purpose of this paper is to discuss two important extensions to the well‐known value‐at‐risk (VaR) methodology, namely extreme value theory (EVT) and expected shortfall (ES). Both of these extensions address the weaknesses of VaR, in particular the methodology's tendency to...