Elliott, Robert J., authorMiao, Hong, authorQuantitative Finance, publisher2020-05-182020-05-182009-09Elliott, R., & Miao, H. (2009). VaR and expected shortfall: a non-normal regime switching framework. Quantitative Finance, 9(6), 747–755. https://doi.org/10.1080/14697680902849320https://hdl.handle.net/10217/206887Includes bibliographical references (pages 20-22).Published as: Quantitative Finance, vol.9, no. 6, pp.747-755, September 2009, https://doi.org/10.1080/14697680902849320.We have developed a regime switching framework to compute the Value at Risk and Expected Shortfall measures. Although Value at Risk as a risk measure has been criticized by some researchers for lack of subadditivity, it is still a central tool in banking regulations and internal risk management in the finance industry. In contrast, Expected Shortfall (ES) is coherent and convex, so it is a better measure of risk than Value at Risk. Expected Shortfall is widely used in the insurance industry and has the potential to replace Value at Risk as a standard risk measure in the near future. We have proposed regime switching models to measure value at risk and expected shortfall for a single financial asset as well as financial portfolios. Our models capture the volatility clustering phenomenon and variance-independent variation in the higher moments by assuming the returns follow Student-t distributions.born digitalarticleseng©2009 Informa UK Limited. Author can archive pre-print and post-print.Copyright and other restrictions may apply. User is responsible for compliance with all applicable laws. For information about copyright law, please see https://libguides.colostate.edu/copyright.value at risk (VaR)expected shortfall (ES)regime switchingstudent-t distributionfat tailedvolatility clusteringText