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2 results

  • 3 - Risk Measures

  • Mary R. Hardy, University of Waterloo, Ontario, David Saunders, University of Waterloo, Ontario
  • Book:
    Quantitative Enterprise Risk Management
    Published online:
    28 July 2022
    Print publication:
    05 May 2022, pp 71-105

  • Summary

    Risk measures are used to give a numerical value, measuring risk, to a random variable representing losses. In this chapter, we introduce several risk measures, including the two most commonly used in risk management: Value at Risk (VaR) and Expected Shortfall. The risk measures are tested for ‘coherence’ based on a list of properties that have been proposed as desirable for risk measures used in internal and regulatory risk assessment. We consider computational issues – including estimating risk measures – and standard errors from Monte Carlo simulation.