Risk measures - value at risk and beyond

Inhaltsverzeichnis (Table of Contents)

• PREFACE
• ABSTRACT
• ABBREVIATIONS
• TABLES
• FIGURES
• 1 INTRODUCTION
• 2 INTRODUCTION TO RISK
  • 2.1 DEFINITION OF “RISK”
  • 2.2 TYPES OF RISK
  • 2.3 MARKET RISK
  • 2.4 MEASURING RISK
• 3 VALUE AT RISK (VAR)
  • 3.1 HISTORY OF VAR, RISKMETRICS
  • 3.2 WHAT IS VAR?
  • 3.3 COMPUTING VAR
    • 3.3.1 Analytic, Variance-Covariance or Parametric Approach
    • 3.3.2 Historical Simulation Approach
    • 3.3.3 Monte Carlo Simulation Approach
    • 3.3.4 Choosing between methods
• 4 CRITICISM ON VALUE AT RISK
  • 4.1 CONCEPT OF COHERENT RISK MEASURES
  • 4.2 ADVANTAGES OF VAR
  • 4.3 DRAWBACKS AND FLAWS OF VAR
    • 4.3.1 VaR and Subadditivity
    • 4.3.2 Further weaknesses of VaR
    • 4.3.3 The Jorion-Taleb Debate
• 5 BEYOND VALUE AT RISK
  • 5.1 TAIL CONDITIONAL EXPECTATION (TCE)
  • 5.2 WORST CONDITIONAL EXPECTATION (WCE)
  • 5.3 EXPECTED SHORTFALL (ES)
  • 5.4 CONDITIONAL VALUE AT RISK (CVAR)
  • 5.5 EXPECTED TAIL LOSS (ETL)
  • 5.6 CONFUSION OF TONGUES
  • 5.7 CONDITIONAL DRAWDOWN (CDD) AT RISK (CDAR)
  • 5.8 EXPECTED REGRET (ER)
  • 5.9 SPECTRAL RISK MEASURES
  • 5.10 DISTORTION RISK MEASURES
  • 5.11 OTHER RISK MEASURES
  • 5.12 MODIFICATIONS OF VALUE AT RISK
    • 5.12.1 Conditional Autoregressive Value at Risk (CAViaR)
    • 5.12.2 Modified VaR
    • 5.12.3 Stable modelling of VaR
  • 5.13 OUTLOOK ON RESEARCH IN RISK MEASUREMENT

Zielsetzung und Themenschwerpunkte (Objectives and Key Themes)

This master's thesis explores risk measures, focusing primarily on Value at Risk (VaR) and its limitations. The work aims to critically evaluate the effectiveness of VaR as a risk measure and investigate alternative approaches to risk assessment. The thesis examines how VaR is used in practice, analyzes its strengths and weaknesses, and explores the theoretical foundations of alternative risk measures.

• Value at Risk (VaR) and its role in risk management
• Criticisms and limitations of VaR
• Alternative risk measures beyond VaR
• The theoretical foundations of risk measures
• The practical application of risk measures

Zusammenfassung der Kapitel (Chapter Summaries)

• Chapter 1: Introduction: Introduces the topic of risk measurement and provides a brief overview of the thesis's scope and structure.
• Chapter 2: Introduction to Risk: Discusses the concept of risk, defines different types of risk, particularly focusing on market risk, and explores the importance of risk measurement.
• Chapter 3: Value at Risk (VaR): Explores the historical development of VaR, explains what VaR is, and outlines various methods for calculating it, including analytic, historical simulation, and Monte Carlo simulation approaches.
• Chapter 4: Criticism on Value at Risk: Analyzes the strengths and weaknesses of VaR. It introduces the concept of coherent risk measures and explores specific limitations of VaR, including subadditivity and the Jorion-Taleb debate.
• Chapter 5: Beyond Value at Risk: Presents alternative risk measures to address the limitations of VaR. This includes examining Tail Conditional Expectation, Worst Conditional Expectation, Expected Shortfall, Conditional Value at Risk, Expected Tail Loss, and various modifications of VaR.

Schlüsselwörter (Keywords)

The thesis focuses on risk measures, particularly Value at Risk (VaR), alternative risk measures, coherent risk measures, market risk, risk management, financial risk, and the theoretical foundations of risk assessment.