EconStor >
Cardiff University >
Cardiff Business School, Cardiff University >
Cardiff Economics Working Papers >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/65803
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorWong, Woon K.en_US
dc.contributor.authorCopeland, Laurenceen_US
dc.date.accessioned2010-02-24en_US
dc.date.accessioned2012-11-02T14:28:56Z-
dc.date.available2012-11-02T14:28:56Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/65803-
dc.description.abstractThe current subprime crisis has prompted us to look again into the nature of risk at the tail of the distribution. In particular, we investigate the risk contribution of an asset, which has infrequent but huge losses, to a portfolio using two risk measures, namely Value-at-Risk (VaR) and Expected Shortfall (ES). While ES is found to measure the tail risk contribution effectively, VaR is consistent with intuition only if the underlying return distribution is well behaved. To facilitate the use of ES, we present a power function formula that can calculate accurately the critical values of the ES test statistic. This in turn enables us to derive a size-based multiplication factor for risk capital requirement.en_US
dc.language.isoengen_US
dc.publisherCardiff Univ, Cardiff Business School, Economics Section Cardiffen_US
dc.relation.ispartofseriesCardiff Economics Working Papers E2008/14en_US
dc.subject.jelG11en_US
dc.subject.jelG32en_US
dc.subject.ddc330en_US
dc.subject.keywordValue-at-Risken_US
dc.subject.keywordexpected shortfallen_US
dc.subject.keywordtail risk contributionen_US
dc.subject.keywordsaddlepoint techniqueen_US
dc.subject.keywordrisk capitalen_US
dc.subject.stwFinanzmarktkriseen_US
dc.subject.stwPortfolio-Managementen_US
dc.subject.stwRisikomanagementen_US
dc.subject.stwRisikoma├čen_US
dc.subject.stwRisikokapitalen_US
dc.subject.stwTheorieen_US
dc.titleRisk measurement and management in a crisis-prone worlden_US
dc.typeWorking Paperen_US
dc.identifier.ppn574278486en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Cardiff Economics Working Papers

Files in This Item:
File Description SizeFormat
574278486.pdf255.71 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.