About this webinar
In insurance and banking sectors, one important task consists in assessing the risk taken by the companies. This can be achieved by means of a risk measure, such as the Value-at-Risk (VaR) for instance. For banks, this measure has been introduced in the Basel Capital Accord (Basel 1) since 1996 for the computation of the market risk in internal models. However, the financial crisis of 2007-09 highlighted some deficiencies of the VaR. Consequently, the Basel Committee proposed in 2013 to shift from the VaR to the Expected Shortfall (ES) for the internal models approach (IMA), which is now part of the new standards for the minimum capital requirements for market risk. While the move from the VaR to the ES seems wise, the ES also brings some new challenges regarding the (comparative) backtesting, which will be discussed during the webinar.
The content of this webinar comes from our White Paper “Comparative Back-testing of the Expected shortfall” available on https://www.reacfin.com/index.php/2019/10/28/comparative-backtesting-of-the-expected-shortfall/
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