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 …

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 …

our methodology is a powerful alternative to standard backtesting procedures in evaluating market risk. …

our methodology is a powerful alternative to standard backtesting procedures in evaluating market risk. …

This paper is the first result of a project aiming at understanding the history of bankruptcy law from an empirical … the impact of bankruptcy law on national economic performance cannot be deducted a priori from a simple description of the … that an empirical assessment of bankruptcy must start with a better understanding of what determines the proportions of …

The Operational Risk Advanced Measurement Approach requires financial institutions to use scenarios to model these … (branches and subsidiaries), and that each one of them is represented by an Operational Risk Manager (ORM), we propose a novel …

The evolutions of the bankruptcy law seek to reach many aims: economic safety, firms' creation and expansion in a …, and prolongation of the activity of viable firms. This contribution examines the French insolvency law and its … ability to protect creditors' interest of the bankruptcy law. We show that far from being only one means of selection thanks …

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 …

along all the period under study. We suggest several dynamic models to compute two market risk measures, the Value at Risk …

sample properties in realistic sample settings (5% coverage rate with estimation risk). An application on a portfolio …In this paper we propose a new tool for backtesting that examines the quality of Value-at- Risk (VaR) forecasts. To …