Value at Risk vs. Expected Shortfall: Which is More Reliable?
The article examines how well different methods of measuring financial risk perform using real data from the Turkish Derivatives Exchange. They compared two risk measures, Value at Risk (VaR) and Expected Shortfall (ES), during both good and bad market conditions. The study found that VaR and ES had varying success rates, depending on the method used to calculate them and whether the market was going up or down.