TY  - UNPD
A1  - Mittnik, Stefan
A1  - Yener, Tina
T1  - Value-at-Risk and expected shortfall for rare events
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2008,14
N2  - We show that the use of correlations for modeling dependencies may lead to counterintuitive behavior of risk measures, such as Value-at-Risk (VaR) and Expected Short- fall (ES), when the risk of very rare events is assessed via Monte-Carlo techniques. The phenomenon is demonstrated for mixture models adapted from credit risk analysis as well as for common Poisson-shock models used in reliability theory. An obvious implication of this finding pertains to the analysis of operational risk. The alleged incentive suggested by the New Basel Capital Accord (Basel II), amely decreasing minimum capital requirements by allowing for less than perfect correlation, may not necessarily be attainable.
T3  - CFS working paper series - 2008, 14 
KW  - Operational Risk
KW  - Latent Variables
KW  - Correlated Events
KW  - Korrelation
KW  - Abhängigkeit
KW  - Risiko
KW  - Messung
KW  - Value at Risk
Y1  - 2008
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/5739
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-56871
ER  -