Devolder, PierreLaforêt, OphéliaOphéliaLaforêt2025-05-142025-05-142025-05-142018https://hdl.handle.net/2078.2/5319Since the subprime crisis of 2008, the risk management of financial institutions has been in the spotlight and its risk measures have been challenged. The most used and widely recognised market risk approximation, called Value-at-Risk, has been criticized for its shortcomings which mainly consist in the fat tail problem and the lack of subadditivity. Insurance companies, as a response to those drawbacks, adopt regularly an alternative risk measure for life and non-life insurances, called Tail Value-at-Risk or Expected Shortfall. Consequently, the BCBS implemented post-crisis reforms for banks entitled Basel III, giving the banks Expected Shortfall as the new recommended risk measure. This choice creates a large debate amongst risk managers and practitioners in the banking industry because a consensus exists on the efficiency of Value-at-Risk. This thesis aims to assess and compare the Value-at-risk with this newly accepted risk measure: the Expected Shortfall. To achieve this goal, risk management and risk measures properties are described. An overview of the insurance and banking regulatory frameworks is depicted while keeping a distinct focus on the Internal Models Approach for risk management. Consequently, Value-at-Risk and Expected Shortfall are defined through computation methods, stress testing as well as backtesting. A comparative assessment is conducted through a literature review and a quantitative study along with practical cases. Results show that both Value-at-Risk and Expected Shortfall have their advantages and drawbacks. Indeed, while expected shortfall corrects some shortcomings of its predecessor by providing better inclusion of the diversification effects and by satisfying the coherence axioms, Value-at-Risk provide more stable estimations and is less sensitive to change in the P&L distributions. We conclude that a preference between one risk measure or another can be given on the basis of what is the most important to risk managers and regulators.risk managementexpected shortfallrisk measuresValue-at-Risktext::thesis::master thesisthesis:15196