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 …

The model of financial risk prediction we developed and present in our paper is based on the theoretical assumption … research influences the potential risk in financial behaviour and it becomes actual especially in the case of changing life … risk of clients. The model has fundamental applications as a diagnostic or auto-diagnostic tool in social work, counselling …

The present study aims at modelling market risk for four commodities, namely West Texas Intermediate (WTI) crude oil … Conditional Auto-Regressive Logit (CARL) models to predict risk measures for the futures return series of the considered … models in order to predict the probability of tail events and the Value-at-Risk and the Expected Shortfall risk measures for …

We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given … value-at-risk and expected shortfall, but the approach also works for other risk measures. …

strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy … stocks and when to shift to the risk-free rate. The important issue regarding the predictability of returns is assessed. It …

One of the key components of financial risk management is risk measurement. This typically requires modeling …

. From a risk management perspective, such behaviors pose challenges, given the difficulty in quantifying and modeling …