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All Journal Journal of Banks and Financial Institutions
Osho, Gbolahan Solomon
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Economics, Econometrics & Finance

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Beyond Value at Risk: A Stochastic Dominance Framework for Risk Management in Banking Osho, Gbolahan Solomon
Journal of Banks and Financial Institutions Vol 2 No 1 (2026)
Publisher : Generate Digital Publishing

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.70764/gdpu-jbfi.2026.2(1)-2

Abstract

Objective: This study examines the application of stochastic dominance as a distribution-based framework for improving risk evaluation in banking beyond traditional metrics. Research Design & Methods: A quantitative analytical approach is employed using simulated and banking-style portfolio datasets. The study applies first-, second-, and third-order stochastic dominance to compare asset distributions and benchmark results against Value at Risk and Expected Shortfall. Findings: Results show no first-order dominance; however, second-order dominance consistently identifies conservative portfolios as optimal under risk aversion. Stochastic dominance reveals distributional differences not captured by conventional measures. Contributions: The study extends risk management literature by integrating nonparametric dominance techniques into banking portfolio evaluation. Novelty: This study introduces an empirical application of stochastic dominance in banking and demonstrates its superiority in capturing full distributional risk.
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