Dans le cadre des procédures de backtesting de la Value-at-Risk (VaR), nous proposons une étude de la qualité de la … correction de l'effet d'estimation du test de Kupiec (Journal of Derivatives, 1995) fondée sur les travaux de Escansiano et Olmo … (2008). Cette étude conduit à apporter une correction de l'effet d'estimation de la VaR elle-même dans le cadre d'un modèle …

This paper investigates Value at Risk and Expected Shortfall for CAC 40, S&P 500, Wheat and Crude Oil indexes during … the 2008 financial crisis. We show an underestimation of the risk of loss for the unconditional VaR models as compared … predicting the asset risk losses. Banks have no interest in using it because the Basel II agreement penalizes banks using …

' risk attitudes is necessary. The goal of this paper is to provide empirical insight into: dairy farmers'perceptions of risk … and risk management, and the influence of the relationship between farmers and their dairy processing firm on these risk … areas. The survey was carried out during a face-to-face interview in summer 2008. The questionnaire survey focuses on risk …

Basel II and Solvency 2 both use the Value-at Risk (VaR) as the risk measure to compute the Capital Requirements. In … objective of our study is to obtain the most accurate evaluations of the aggregated risks distribution and risk measures when …

Systematic and multifactor risk models are revisited via methods which were already successfully developed in signal … processing and in automatic control. The results, which bypass the usual criticisms on those risk modeling, are illustrated by …

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 … desirable properties of risk measures like coherence, comonotonic additivity, robustness and elicitability. We check VaR, ES and …

Measuring the risk of a financial portfolio involves two steps: estimating the loss distribution of the portfolio from … available observations and computing a ``risk measure" which summarizes the risk of the portfolio. We define the notion of … ``risk measurement procedure", which includes both of these steps and introduce a rigorous framework for studying the …

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 …