An Empirical Investigation of the Rank Correlation between Different Risk Measures

Pfingsten, A; Wagner, P; Wolferink, C

An Empirical Investigation of the Rank Correlation between Different Risk Measures

Pfingsten A, Wagner P, Wolferink C

Zusammenfassung
A wealth of risk measures - for example, value-at-risk (VAR) - can be used to measure the risk of banks' trading books. This gives rise to the question of whether the rankings produced by the various measures differ much in practical applications. To investigate this we analyze the rank correlations given by different risk measures using actual data from two trading books. In most cases we observe high values of Spearman's coefficient, indicating that the choice of risk measure may not be too critical.

Publikationstyp

Forschungsartikel (Zeitschrift)

Begutachtet

Ja

Publikationsstatus

Veröffentlicht

Jahr

2004

Fachzeitschrift

Journal of Risk

Band

6

Ausgabe

4

Erste Seite

55

Letzte Seite

74

Sprache

Englisch

ISSN

1465-1211