Rohit Arora

University of Texas at Austin

2317 Speedway

Austin, TX 78712

United States

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Inefficiency and Bias of Modified Value-at-Risk and Expected Shortfall

Journal of Risk, Vol. 19, No. 6, 2017
Number of pages: 26 Posted: 04 Aug 2017
R. Douglas Martin and Rohit Arora
University of Washington and University of Texas at Austin
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Abstract:

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modified value-at-risk (mVaR), modified expected shortfall (mES), standard error, efficiency, delta method, Basel III