Regulation and Risk management in banks depend on underlying risk measures. In general this is the only purpose that is … seen for risk measures. In this paper, we suggest that the reporting of risk measures can be used to determine the loss … distribution function for a financial entity. We demonstrate that a lack of sufficient information can lead to ambiguous risk …

Starting from the requirement that risk measures of financial portfolios should be based on their losses, not their … gains, we define the notion of loss-based risk measure and study the properties of this class of risk measures. We … characterize loss-based risk measures by a representation theorem and give examples of such risk measures. We then discuss the …

The banking systems that deal with risk management depend on underlying risk measures. Following the recommendation of … the Basel II accord, most banks have developed internal models to determine their capital requirement. The Value at Risk …, showing the need for five risk measures in order to compute a capital in relation to the risk to which the bank is exposed. In …

The banking systems that deal with risk management depend on underlying risk measures. Following the recommendation of … the Basel II accord, most banks have developed internal models to determine their capital requirement. The Value at Risk …, showing the need for five risk measures in order to compute a capital in relation to the risk to which the bank is exposed. In …

Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR … desirable properties of risk measures like coherence, comonotonic additivity, robustness and elicitability. We check VaR, ES and … their impact on capital allocation, an important issue in risk management. We find that, despite the caveats that apply to …

In the renewal risk model, we study the asymptotic behavior of the expected time-integrated negative part of the … process. This risk measure has been introduced by Loisel (2005). Both heavy-tailed and light-tailed claim amount distributions …

Dans le cadre des procédures de backtesting de la Value-at-Risk (VaR), nous proposons une étude de la qualité de la …

``risk measurement procedure", which includes both of these steps and introduce a rigorous framework for studying the … robustness of risk measurement procedures and their sensitivity to changes in the data set. Our results point to a conflict … between subadditivity and robustness of risk measurement procedures and show that the same risk measure may exhibit quite …

This paper studies a new risk measure derived from the expected area in red introduced in Loisel (2005). Specifically …, we derive various properties of a risk measure defined as the smallest initial capital needed to ensure that the expected … time-integrated negative part of the risk process on a fixed time interval [0; T] (T can be infinite) is less than a given …

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit … it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a … probabilistic approach to examine the consequences of its presence on the risk loading of the premium of a portfolio of insurance …