Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/65803
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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.publisher|aCardiff University, Cardiff Business School |cCardiffen_US
dc.relation.ispartofseries|aCardiff Economics Working Papers |xE2008/14en_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.stwRisikomaßen_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

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