Social Sciences
3 years ago

New risk measure VaR(2) revolutionizes damage allocation calculations!

SSRN Electronic Journal
New Risk Measure VAR Squared (VAR (2)) and its Calculation Part Ii: Case of the General Law of Allocation of Damages. Comparison of VAR (2) and Es
Vigen Babkenovich Minasyan

Paper Summary

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A new risk measure called VaR squared (VaR(2)) was introduced in the study. The researchers provided a formula for calculating VaR(2) by adjusting the confidence probability of the normal risk measure VaR. They found that VaR(2) can be calculated based on VaR with a modified confidence level. The study compared the risk estimates obtained from VaR(2) and ES measures.