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

19 Pages Posted: 23 Jun 2020

See all articles by Vigen Babkenovich Minasyan

Vigen Babkenovich Minasyan

Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Research Laboratory of Corporate Strategies

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

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

Vigen Babkenovich Minasyan (Contact Author)

Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Research Laboratory of Corporate Strategies ( email )

Moscow
Russia

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