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 …

When the uni-variate risk measure analysis is generalized into the multi-variate setting, many complex theoretical and … applied problems arise, and therefore the mathematical models used for risk quantification usually present model risk. As a … task, we propose a novel multi-variate risk measure, based on the notion of the Wasserstein barycenter. The proposed …

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 …

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. …

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 …

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 …

The Value-at-Risk (VaR) metric serves as a pivotal tool for quantifying market risk, offering an estimation of … implications for managerial decision-making in financial risk management. …

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 …

businesses, regulators and senior management use capital allocation techniques. For enterprise-wide risk management, it has … become important to calculate the contribution of each risk within a portfolio. For that purpose, bivariate lower and upper … orthant tail value-at-risk can be used for capital allocation. In this paper, we present multivariate value-at-risk and tail-value-at-risk …

How can risk of a company be allocated to its divisions and attributed to risk factors? The Euler principle allows for … an economically justified allocation of risk to different divisions. We introduce a method that generalizes the Euler … principle to attribute risk to its driving factors when these factors affect losses in a nonlinear way. The method splits loss …