Under the revised market risk framework of the Basel Committee on Banking Supervision, the model validation regime for … internal models now requires that models capture the tail risk in profit-and-loss (P&L) distributions at the trading desk level …-desk value-at-risk (VaR) backtest as a special case. The spectral tests make use of realised probability integral transform …

Value-at-Risk (VaR) is a key metric widely applied in market risk assessment and regulatory compliance under the Basel …-based model calibrated to historical portfolio volatility, and a CAPM-style factor-based model that simulates risk via systematic … backtesting frameworks. Under the Basel III backtesting framework, both initially fall into the red zone, with 13 VaR violations …

Risk evaluation is a forecast, and its validity must be backtested. Probability distribution forecasts are used in this … correlation), and that the bivariate forecasts provided by a risk methodology based on historical innovations performs correctly …

This paper presents a new tool for validating Value-at-Risk (VaR) models. This tool, called the Risk Map, jointly … performance of a risk model. It relies on the concept of VaR super exception, which is de fined as a situation in which the … whether the sequence of exceptions and super exceptions passes standard model validation tests. We show that the Risk Map can …

Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of … pricing of stocks and better risk management. The aim of this research is to test applicability of simple models like Simple … Moving Average (SMA) and Exponentially Weighted Moving Average (EWMA) to estimate risk. The performance of SMA and EWMA with …

This article reviews two leading measures of financial risk and an emerging alternative. Embraced by the Basel accords …, value-at-risk and expected shortfall are the leading measures of financial risk. Expectiles offset the weaknesses of value-at-risk … (VaR) and expected shortfall. Indeed, expectiles are the only elicitable law-invariant coherent risk measures. After …

level of risk. Our starting point is to use a hierarchical risk aggregation method which was initially based on two … obligations to policyholders and beneficiaries. The solvency capital requirement is a risk management tool essential for … reinsurance in reducing the insurance company's business risk and its effect on diversification. The results show that reinsurance …

insurance portfolio. Hierarchical risk aggregation is performed using bivariate copula trees. Six common parametric copula … is a measure of positive dependence through variance of the aggregate risk. During gross loss accumulation, the marginals …