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Value at Rist: Regulatory and Other Applications, Methods, and Criticism

In: Risk Management

Author

Listed:
  • Alois Paul Knobloch

    (University of Hohenheim)

Abstract

This article surveys several applicational as well as theoretical aspects of Value at Risk as a measure of risk. First, we compare different calculation methods with respect to accuracy, implementational issues as well as suitability for resource allocation and optimization. We contribute to capital allocation based on Value at Risk and provide an optimization model. Afterwards, we concentrate on shortcomings of Value at Risk as a measure of risk from a theoretical point of view. The focus is on the relation to decision theory and to coherent measures of risk. Alternatives to Value at Risk such as the lower partial moment one or the tail conditional expectation are included. We give some reasons to prefer the latter as a measure of risk.

Suggested Citation

  • Alois Paul Knobloch, 2005. "Value at Rist: Regulatory and Other Applications, Methods, and Criticism," Springer Books, in: Michael Frenkel & Markus Rudolf & Ulrich Hommel (ed.), Risk Management, edition 0, pages 99-124, Springer.
    • Handle: RePEc:spr:sprchp:978-3-540-26993-9_5
    DOI: 10.1007/3-540-26993-2_5
    as

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