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 …

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 … not to be elicitable which means that backtesting for ES is less straight-forward than, e.g., backtesting for VaR …

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 …

In this paper we propose a new tool for backtesting that examines the quality of Value-at- Risk (VaR) forecasts. To …-choice model, e.g. Probit, Logit, links the sequence of violations to a set of explanatory variables including the lagged VaR and … sample properties in realistic sample settings (5% coverage rate with estimation risk). An application on a portfolio …

This paper proposes a new test of Value at Risk (VaR) validation. Our test exploits the idea that the sequence of VaR … the properties of a martingale difference if the model used to quantify risk is adequate (Berkowitz et al., 2005). More … dimension appreciably improves the power properties of the VaR validation test for reasonable sample sizes. …

based risk measure (ES and VaR), spectral risk measure and distortion risk measure. After introducing each measure, we … time upside and downside risks. This paper offers a comparative analysis of concept risk measures, we focus on quantile … investigate their interest and limit. Knowing that quantile based risk measure cannot capture correctly the risk aversion of risk …

Le développement de la gestion du risque fondée sur la VaR (Value at Risk) sert de cadre à un ensemble de mesures de …

performances macroéconomiques de ces pays. Nous estimons un modèle VAR en panel (PVAR) entre 1975 et 2009 sur huit pays africain …

to gain approval has increased the importance of some topics such as risk aggregation in determining overall economic … risks that represent usually an important part of an insurer risk profile. We then calculate the economic capital needed to … computing both 99.5th VaR and 99.5th ES following the requirements of Solvency II and SST. …