assumptions alone in measuring risk. Cushioning against risk has always created a plethora of complexities and challenges; hence …, this paper attempts to analyse statistical properties of various risk measures in a not normal distribution and provide a … financial blueprint on how to manage risk. It is assumed that using old assumptions of normality alone in a distribution is not …

entropy. To measure risk, we use value-at-risk and conditional value-at-risk. The results indicate that, except for Tether …, the analyzed cryptocurrencies’ returns exhibited similar patterns of uncertainty and risk. Levels of uncertainty were … close to the maximum values, but high uncertainty is not always associated with high risk. During the pandemic crisis …

This paper investigates the information content of the ex post overnight return for one-day-ahead equity Value-at-Risk …

This paper investigates the dynamic evolution of tail risk interdependence among U.S. banks, financial services and …. The tail risk interdependence measurement framework relies on the multivariate Student-t Markov switching (MS) model and … the multiple-conditional value-at-risk (CoVaR) (conditional expected shortfall (CoES)) risk measures introduced in …

The core of risk aggregation in the Solvency II Standard Formula is the so-called square root formula. We argue that it … should be seen as a means for the aggregation of different risks to an overall risk rather than being associated with … variance-covariance based risk analysis. Considering the Solvency II Standard Formula from the viewpoint of linear geometry, we …

distributed risk factors. Our results aim to correct inaccuracies that originate in Kamdem (2005) and are present also in at least … degrees of freedom. As such, the resulting economic impact in financial risk management applications could be significant. We …

profit, variance and expected shortfall of the insurer’s risk. The aggregate claim amounts are assumed to be distributed as … the expected shortfall of the insurer’s risk. In the decision making process, we concentrate on multi-attribute decision …

A challenge in enterprise risk measurement for diversified financial institutions is developing a coherent approach to … aggregating different risk types. This has been motivated by rapid financial innovation, developments in supervisory standards … risk, having Basel Pillar II of Basel implications. Second, we utilize data from major banking institutions’ loss …

Food safety is a major risk for agribusiness firms. According to the Centers for Disease Control and Prevention (CDC …/HACCP) in 1996 and the Food Modernization Act in 2010, to reduce food-safety risk, retail meat facilities continue to experience … evaluate the effectiveness for three strategies that are used by retail meat facilities. Copula value-at-risk (CVaR) was …