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15-133/III - Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance


  • Authors
    Chia-Lin Chang, National Chung Hsing University, Taichung, Taiwan; Juan-Ángel Jiménez-Martín, Complutense University of Madrid, Spain; Esfandiar Maasoumi, Emory University, USA; Michel McAleer, National TsingHua University, Taiwan; Erasmus School of Economics, Erasmus University Rotterdam, and Tinbergen Institute, the Netherlands; Complutense University of Madrid, Spain; Teodosio Pérez-Amaral, Complutense University of Madrid, Spain
  • Publication date
    December 15, 2015
  • Keywords
    Stochastic dominance, Value-at-Risk, Expected Shortfall, Optimizing strategy, Basel III Accord
  • JEL
    G32, G11, G17, C53, C22