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Measuring and regulating extreme risk

机译：衡量和调节极端风险

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Purpose – The purpose of this paper is to discuss two important extensions to the well-known value-at-risk (VaR) methodology, namely extreme value theory (EVT) and expected shortfall (ES). Both of these extensions address the weaknesses of VaR, in particular the methodology's tendency to systematically underestimate risk of extreme market events. Design/methodology/approach – The theory of VaR and the two extensions are reviewed and the methodology is evaluated in light of the Basel II regulatory framework that calls for the use of VaR by financial institutions. Findings – The paper clarifies the use of VaR and its extensions to make practitioners more aware of the pitfalls and how to address them. It is recommended that the two extended measures of extreme event risk (i.e. EVT and ES) be included into every risk manager's information pool. Originality/value – A compact review of these approaches and their regulatory connection has not previously been compiled. This review is of particular value to risk managers and policy markers given the turbulent market conditions of the past year.
机译：目的–本文的目的是讨论众所周知的风险价值（VaR）方法的两个重要扩展，即极值理论（EVT）和预期不足（ES）。这两个扩展都解决了VaR的弱点，特别是方法论倾向于系统地低估极端市场事件的风险。设计/方法/方法–对VaR的理论和两个扩展进行了审查，并根据要求金融机构使用VaR的巴塞尔协议II监管框架对方法进行了评估。调查结果–该文件阐明了VaR及其扩展的用法，以使从业人员更加了解陷阱以及如何解决这些陷阱。建议将两个扩展的极端事件风险度量（即EVT和ES）包括在每个风险管理者的信息库中。原创性/价值–以前尚未对这些方法及其监管联系进行紧凑的审查。考虑到过去一年的市场动荡，这项审查对于风险管理人员和政策制定者特别有价值。

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