most citedCalculating credit risk capital charges with the one-factor model

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q-fin.RM2013

What is the best risk measure in practice? A comparison of standard measures

Susanne Emmer, Marie Kratz, Dirk Tasche

Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR). At the same time, however, it has been criticised for issue…