Download This PaperNew Risk Measure VAR Squared (VAR (2)) and its Calculation Part II: Case of the General Law of Allocation of Damages. Comparison of VAR (2) and ES
19 Pages Posted: 23 Jun 2020
Date Written: May 28, 2020
Abstract
The work introduces the concept of a new risk measure VaR in a square (VaR(2)) and displays the formula for calculating it. It turns out that to calculate the VaR (2), it is sufficient to calculate a normal measure of risk VaR , with a certain changed confidence probability.
The ratio of risk estimates by risk measures VaR(2) and ES was investigated.
Keywords: measure of risk of VaR, measure of risk of ES, measure risk a VaR (2), confidential probability, distribution density of probabilities.
JEL Classification: G12,G17,G18,G22
Suggested Citation: Suggested Citation
Minasyan, Vigen Babkenovich, New Risk Measure VAR Squared (VAR (2)) and its Calculation Part II: Case of the General Law of Allocation of Damages. Comparison of VAR (2) and ES (May 28, 2020). Available at SSRN: https://ssrn.com/abstract=3612643 or http://dx.doi.org/10.2139/ssrn.3612643
Do you have a job opening that you would like to promote on SSRN?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.