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 …

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 … values theory VaR model. Even in 2008 financial crisis, the conditional EVT model is more accurate and reliable for …

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 …

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 …

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 …

uncertainties over forecasting hypotheses. A mean to control such uncertainties lies in the introduction of risk in the Costs …