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Why risk is hard to measure

Danielsson, Jon and Zhou, Chen (2015) Why risk is hard to measure. VoxEU.

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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:
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: 14 Nov 2021 00:13

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