When the uni-variate risk measure analysis is generalized into the multi-variate setting, many complex theoretical and applied problems arise, and therefore the mathematical models used for risk quantification usually present model risk. As a result, regulators have started to require that the...

When the uni-variate risk measure analysis is generalized into the multi-variate setting, many complex theoretical and applied problems arise, and therefore the mathematical models used for risk quantification usually present model risk. As a result, regulators have started to require that the...

Downside risk measures play a very interesting role in risk management problems. In particular, the value at risk (VaR) and the conditional value at risk (CVaR) have become very important instruments to address problems such as risk optimization, capital requirements, portfolio selection,...