Rogue traders versus value-at-risk and expected shortfall
File(s)sshapedutility_riskmag_final_spiral.pdf (287.2 KB)
Accepted version
Author(s)
Armstrong, John
Brigo, D
Type
Journal Article
Abstract
We show that, in a Black and Scholes market, value at risk and ex-
pected shortfall are irrelevant in limiting traders excessive tail-risk seeking
behaviour as modelled via Kahneman and Tversky’s S-shaped utility. To
have effective constraints one can introduce a risk limit based on a second
but concave utility function.
pected shortfall are irrelevant in limiting traders excessive tail-risk seeking
behaviour as modelled via Kahneman and Tversky’s S-shaped utility. To
have effective constraints one can introduce a risk limit based on a second
but concave utility function.
Date Issued
2018-04-04
Date Acceptance
2018-03-25
Citation
Risk -London- Risk Magazine Limited-, 2018, pp.63-63
ISSN
0952-8776
Publisher
Risk Magazine Limited
Start Page
63
End Page
63
Journal / Book Title
Risk -London- Risk Magazine Limited-
Copyright Statement
© 2018 Infopro Digital Risk (IP) Limited. All rights reserved. Published by Infopro Digital Services Limited. Available by permission of Infopro Digital Risk.
Identifier
http://www.risk.net/5477896%20%5Bhttp://www.risk.net/5477896
Publication Status
Published