One of the key components of financial risk management is risk measurement. This typically requires modeling … financial econometrics literature have developed several models based on Extreme Value Theory (EVT) to carry out these tasks …

risky, motivating us to manage their risk. In this paper, we aimed to forecast the risk of Decentraland's MANA and Theta … combination with Bitcoin. To measure their risk, we proposed a modified aggregate risk measure (AggM) defined as a convex … combination of aggregate value-at-risk (AggVaR) and aggregate expected shortfall (AggES). To capture their dependence, we employed …

This article reviews two leading measures of financial risk and an emerging alternative. Embraced by the Basel accords …, value-at-risk and expected shortfall are the leading measures of financial risk. Expectiles offset the weaknesses of value-at-risk … (VaR) and expected shortfall. Indeed, expectiles are the only elicitable law-invariant coherent risk measures. After …

risk model CreditRisk+. This allows exact risk aggregation via an efficient numerically stable Panjer recursion algorithm …. Furthermore, the model allows exact (without Monte Carlo simulation error) calculation of risk measures and their sensitivities … with respect to model parameters for P&L distributions such as value-at-risk and expected shortfall. Numerous examples …

and risk prevention as this trend continues. In this paper, we convert natural disaster losses to the year 2016 dollars … outperforms the other two composite distributions in modeling natural disaster losses. Important risk measures for natural …