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Sponsored Artificial Intelligence: A Modern Approach, Global Edition Artificial Intelligence: A Modern Approach, Global Edition

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Yuhui Gao

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Open access Jul 2026

Market Risk Measurement and Backtesting of Stock Portfolios (China A-Shares) Based on VaR and ES

In the context of normalized volatility in the A-share market, traditional VaR models are unable to effectively capture the tail risk of extreme market conditions, while Expected Shortfall (ES) can make up for this deficiency. This paper selects 12 A-shares from two equally weighted stock portfolios within and outside...

Yuhui Gao · 0 citations

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