International Research Journal of Commerce , Arts and Science
( Online- ISSN 2319 - 9202 ) New DOI : 10.32804/CASIRJ
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VALUE AT RISK VERSUS ESTIMATED SHORTFALL
1 Author(s): SUMANT KUMAR
Vol - 10, Issue- 8 , Page(s) : 110 - 115 (2019 ) DOI : https://doi.org/10.32804/CASIRJ
The measurement of “Expected Shortfall” has been recommended in revised framework of Basel III. It makes up the VaR’s shortcomings in capturing the risk of Extreme Losses. Back testing and Comparison of efficacy of ES and VaR has been made in Indian Scenario. Bivariate data of portfolio consisting of two currencies viz American Dollar and Pound Sterling have been used while keeping Rupee as a home currency.