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 of 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 …

In this paper, we propose a novel framework for estimating systemic risk measures and risk allocations based on Markov … Chain Monte Carlo (MCMC) methods. We consider a class of allocations whose jth component can be written as some risk measure … intersection of linear constraints, this class of allocations covers, for example, conditional Value-at-Risk (CoVaR), conditional …

The aim of this work is to introduce an innovative methodology for performing risk attribution within a multifactor … risk framework. We applied this analysis to the assessment of systemic, climate, and geopolitical risks relative to a … the combined risk to each factor and to the effect of their interaction by employing our proposed frequency-based approach …

This paper provides a critical analysis of the subadditivity axiom, which is the key condition for coherent risk … measures. Contrary to the subadditivity assumption, bank mergers can create extra risk. We begin with an analysis how a merger … rejected, since a subadditive risk measure, by definition, cannot account for such increased risks. …

In this paper, we develop a framework for measuring, allocating and managing systemic risk. SystRisk, our measure of … total systemic risk, captures the a priori cost to society for providing tail-risk insurance to the financial system. Our … allocation principle distributes the total systemic risk among individual institutions according to their size-shifted marginal …

to market extreme scenarios, incorporating the need of regulators and financial institutions in more sensitive risk … loss distribution. The findings show that our VaR estimations are able to capture the tail risk and react to market …

twofold: to define risk-based capital measures able to absorb the effects of financial distress and avoid corporate default … on insolvency risk will be defined by recalling the concepts of Cash Flow-at-Risk and Capital-at-Risk. A first check on … the usefulness of these risk-based measures and their consistency with the principle of value maximization is carried out …

This paper uses three methodologies for measuring the existence of systemic risk in the Colombian banking system. The … determination of its existence is based on implementing three systemic risk measures widely referenced in academic works after the … systemic risk scenario, despite having suffered economic losses due to external shocks, mainly due to the subprime crisis. The …

acceptable threshold. Our research is of primary interest to practitioners working in the area of operational risk measurement … risk measures. Naturally, financial analysts and regulators are interested in mitigating sampling errors, as prescribed in … lines of EU Regulation 575/2013. The Monte Carlo error for the operational risk measure is here assessed on the basis of the …

damage on average. Numerical experiments suggest the dependence aspect is important and can alter final risk estimates by as …