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Tabulations for value at risk and expected shortfall

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  • Saralees Nadarajah
  • Stephen Chan
  • Emmanuel Afuecheta

Abstract

Value at risk and expected shortfall are the two most popular measures of financial risk. Here, we tabulate expressions for both these measures for over 100 parametric distributions, including all commonly known distributions, and illustrate a data application. We expect that this collection of expressions could serve as a source of reference and encourage further research with respect to measures of financial risk.

Suggested Citation

  • Saralees Nadarajah & Stephen Chan & Emmanuel Afuecheta, 2017. "Tabulations for value at risk and expected shortfall," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 46(12), pages 5956-5984, June.
    • Handle: RePEc:taf:lstaxx:v:46:y:2017:i:12:p:5956-5984
    DOI: 10.1080/03610926.2015.1116572
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