Journals Proceedings

Abstract

In our today culture, the availability of a quantitative measure is highly comforting, without to speak about the opportunity that such a quantitative measure represents within the framework of developing quantitative, descriptive models, in the financial, economic or any other field. However, one should be wary about the comfort of a quantitative measure, which may be fallacious in some cases, to the extent that it could seriously affect some decision/management process. In this paper, we are concerned with a specific subset of quantitative measures, namely, probability measures, in the particular case of (very) low probabilities. This paper is about the pertinence of such a (very) low probability measure: to what extent is this measure pertinent, with respect to its use, in financial, or, more generally, economic decisions? We propose a quantitative measure of this degree of pertinence, and apply it to an example of Value-at-Risk calculation.