Danielsson, Jon 
ORCID: 0009-0006-9844-7960 and Zhou, Chen
(2015)
Why risk is hard to measure.
VoxEU.
Abstract
Regulators and financial institutions increasingly depend on statistical risk forecasting. This column argues that most risk modelling approaches are highly inaccurate and confidence intervals should be provided along with point estimates. Two major approaches, value-at-risk and expected shortfall are compared, and while the former is found to be superior in practice, it is also easier to be manipulated by forecasters.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.voxeu.org/ |
| Additional Information: | © 2015 The Authors |
| Divisions: | Finance Financial Markets Group Systemic Risk Centre |
| Subjects: | H Social Sciences > HA Statistics H Social Sciences > HG Finance |
| Date Deposited: | 22 May 2015 10:31 |
| Last Modified: | 01 Oct 2024 03:04 |
| URI: | http://eprints.lse.ac.uk/id/eprint/62054 |
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