From the Vault: What’s Your Expected Shortfall?
Over a decade ago, we were looking beyond the merits of VaR.
July 27, 2017
Back in 2003, stress testing and VaR were relatively new concepts in the pension space – and keynote speaker, Peter Christoffersen offered this perspective on the relative merits and drawbacks to both. I dug back into the vaults of CIR and found a report on Peter’s talk at the 2003 Risk Management Conference – you can find it here. Of note is his final focus on the importance of “expected shortfall,” which has become a key risk as pension funds develop risk-based reporting around funded status rather than simple asset returns. Is it still useful in your view – or has the thinking evolved further? Feel free to comment below.