Proceedings of the 2026 11th International Conference on Financial Innovation and Economic Development (ICFIED 2026)

<Previous Article In Volume
Next Article In Volume>

Risk Measurement of Sovereign Wealth Funds: The Significant Advantages of ES over VaR

Authors
Yuxuan Gao1, *
1School of Insurance, Shandong University of Finance and Economics, Jinan, Shandong, China
*Corresponding author. Email: 202304540141@mail.sdufe.edu.cn
Corresponding Author
Yuxuan Gao
Available Online 29 April 2026.
DOI
10.2991/978-94-6239-642-5_14How to use a DOI?
Keywords
Sovereign Wealth Funds (SWFs); Value at Risk (VaR); Expected Shortfall (ES)
Abstract

The paper focuses on optimizing the risk assessment system of Sovereign Wealth Funds (SWFs) as the core research direction, with an emphasis on the different applications of Value at Risk (VaR) and Expected Shortfall (ES). SWFs with long-term investment undertake economic and diplomatic goals. It still faces multiple risks. Risk management is of significance. By contracting the theories between ES and VaR, the paper find that VaR only estimates the loss threshold at a given confidence level. VaR’s limitations include ignoring the extreme losses scale, lacking subadditivity, and being unreliable under market pressure. ES can overcome the limitations to reflect extreme risk more comprehensively, and the optimization results are more stable. Moreover, the article sets a framework for the application in SWFs to indicate that ES is superior to VaR, considering the debt crisis, fragmented world, and other extreme scenarios. The paper also shows some weaknesses of ES to improve the risk assessment method in SWEs.

Copyright
© 2026 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Download article (PDF)

<Previous Article In Volume
Next Article In Volume>
Volume Title
Proceedings of the 2026 11th International Conference on Financial Innovation and Economic Development (ICFIED 2026)
Series
Advances in Economics, Business and Management Research
Publication Date
29 April 2026
ISBN
978-94-6239-642-5
ISSN
2352-5428
DOI
10.2991/978-94-6239-642-5_14How to use a DOI?
Copyright
© 2026 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Yuxuan Gao
PY  - 2026
DA  - 2026/04/29
TI  - Risk Measurement of Sovereign Wealth Funds: The Significant Advantages of ES over VaR
BT  - Proceedings of the 2026 11th International Conference on Financial Innovation and Economic Development (ICFIED 2026)
PB  - Atlantis Press
SP  - 126
EP  - 135
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6239-642-5_14
DO  - 10.2991/978-94-6239-642-5_14
ID  - Gao2026
ER  -