This paper proposes intraday High Frequency Risk (HFR) measures for market risk in the case of irregularly spaced high …-frequency data. In this context, we distinguish three concepts of value-at-risk (VaR): the total VaR, the marginal (or per …-time-unit) VaR, and the instantaneous VaR. Since the market risk is obviously related to the duration between two consecutive trades …

the estimation and backtesting of ES, it can be considered a good risk measure. In particular, there is no sufficient …Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR …). At the same time, however, it has been criticized for issues relating to backtesting. In particular, ES has been found …

The objective of this paper is to propose a market risk measure defined in price event time and a suitable backtesting … non parametric quantile estimation to derive a semi-parametric Irregularly Spaced Intraday Value at Risk (ISIVaR) model …

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 …

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 …

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 …

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 …

``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 …

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 …