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
Date Written: May 28, 2020
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