regardless of the size of potential losses. We allow for a range of confidence levels that depend on the loss magnitude. The key … ingredient is a benchmark loss distribution (BLD), i.e.~a function that associates to each potential loss a maximal acceptable … probability of occurrence. The corresponding risk measure, called Loss VaR (LVaR), determines the minimal capital injection that …

We consider the detection of multiple outliers in Exponential and Pareto samples -- as well as general samples that … block and sequential tests, are compared for their power and errors, in cases including no outliers, dispersed outliers (the … classical slippage alternative), and clustered outliers (a case seldom considered). We advocate a density mixture approach for …

significant transient dependence between returns and (ii) the presence of large outliers (dragon-kings) characterizing the extreme …

standard models as special cases. The loss distribution of a portfolio of contingent claims can be exactly and efficiently … the loss distribution and multi-name credit derivatives prices. An empirical exercise illustrates the flexibility of our …

, we propose an intra-horizon analogue of the expected shortfall for general profit and loss processes and discuss its key …