Go to content
UR Home

Quantifying market risk with Value-at-Risk or Expected Shortfall? Consequences for capital requirements and model risk

Kellner, Ralf ; Rösch, Daniel


The Basel Committee on Banking Supervision recently proposed fundamental changes in the regulatory treatment of financial institutions' trading book positions. Among others, a replacement of Value-at-Risk (alpha = 0.99) by Expected Shortfall (alpha = 0.975) for the quantification of market risk is recommended. While this increases capital requirements for heavy tailed risks, its consequences for ...


Owner only: item control page
  1. Homepage UR

University Library

Publication Server


Publishing: oa@ur.de
0941 943 -4239 or -69394

Dissertations: dissertationen@ur.de
0941 943 -3904

Research data: datahub@ur.de
0941 943 -5707

Contact persons