The Basel Committee on Banking Supervision (BCBS) has proposed to replace value at risk (VaR) with expected shortfall (ES). There are many reasons behind this proposal, and we have provided a brief description of the pros and cons of this shift in this paper. Estimating extreme losses is important when measuring market risk and the extreme value theory (EVT) approach is one of the best methods to calculate extreme losses..

Key Takeaways
  • The reasons for the regulatory shift from VaR to ES
    Regulatory guidance on modeling ES
    Importance of using an EVT based approach for modeling ES
    Step-by-step details on how to model ES with EVT

We'd love to share this and more Whitepaper. But first, a little more about you
Thank you for sharing your details

Your file will start downloading automatically

If it does not download within 1 minute,

Share this on