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