A Study on Risk Measurements Exceeding VaR: TCE, CVaR and ES

摘要：

Because of VaRs limitations, three new risk measurements exceeding VaR were put forward, which are TCE, CVaR and ES. However, there is confusion about definitions of TCE, CVaR and ES and relationship between them. This article redefines TCE, CVaR and ES using terms system of return distribution, significance level and upper-quantile, and studies the relationship between them based on new definitions. The conclusion is that CVaR and ES are equivalent in any cases; TCE, CVaR and ES are equivalent when distributions of returns on risky securities are continuous.

关键词： Coefficient of tail dependence Copula Tail risk

作者: Xu Xusong Wang Pin

作者单位: Economics and Management School Wuhan University Wuhan, P. R. China

会议类型: 国际会议

会议名称: 第三届IEEE无线通讯、网络技术暨移动计算国际会议

会议地点: 上海

会议语种:英文

在线出版日期: 2007-09-21（万方平台首次上网日期，不代表论文的发表时间）