VAR versus expected shortfall: why PRIIPS has got it wrongAugust 15, 2016 - 09:57
The European Regulator has proposed a way to measure the risk of structured products. We agree with the principals, but think that there are problems with the detail. By chosing VaR over Average Shortfall the proposed PRIIPS risk measure will not be able to recognise the differences between different types of product. Instead the proposed new risk measure will be a measure of the volatility of the underlying.
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