Risk and probability measures

Phelim Boyle, Tak Kuen Siu, Hailiang Yang

Research output: Contribution to journalArticlepeer-review


Although its drawbacks are well known, VAR has become institutionalised as the market risk measure of choice among trading firms and regulators. Now there is a growing feeling that a reappraisal is overdue, exemplified here by Phelim Boyle, Tak Kuen Siu and Hailiang Yang. Using the example of an unhedged option position in the classic two-level binomial tree framework, they evaluate VAR and alternative risk measures using objective and subjective probability measures.
Original languageEnglish
Pages (from-to)53-57
Number of pages5
Issue number7
Publication statusPublished - 2002
Externally publishedYes


  • conditional default rates
  • expected shortfall
  • quantitative analysis
  • risk-neutral modelling
  • value-at-risk (VAR)


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