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dc.contributor.authorWong, Woon K.en
dc.contributor.authorCopeland, Laurenceen
dc.date.accessioned2010-02-24-
dc.date.accessioned2012-11-02T14:28:56Z-
dc.date.available2012-11-02T14:28:56Z-
dc.date.issued2008-
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
dc.language.isoengen
dc.publisher|aCardiff University, Cardiff Business School |cCardiffen
dc.relation.ispartofseries|aCardiff Economics Working Papers |xE2008/14en
dc.subject.jelG11en
dc.subject.jelG32en
dc.subject.ddc330en
dc.subject.keywordValue-at-Risken
dc.subject.keywordexpected shortfallen
dc.subject.keywordtail risk contributionen
dc.subject.keywordsaddlepoint techniqueen
dc.subject.keywordrisk capitalen
dc.subject.stwFinanzmarktkriseen
dc.subject.stwPortfolio-Managementen
dc.subject.stwRisikomanagementen
dc.subject.stwRisikomaßen
dc.subject.stwRisikokapitalen
dc.subject.stwTheorieen
dc.titleRisk measurement and management in a crisis-prone world-
dc.typeWorking Paperen
dc.identifier.ppn574278486en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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