can grasp concepts from quantitative risk management. To this end, we enter a scholarly discussion with ChatGPT in the … courses on quantitative risk management, and address risk in general, risk measures, time series, extremes and dependence. As … a result, the non-technical aspects of risk (such as explanations of various types of financial risk, the driving …

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

-Balaton 2023 European Capital of Culture region (VEB 2023 region). The study aims to adapt the PwC Risk Management Model and …), what lessons they learned, and what risk management decisions they made as a challenge of the pandemic period from a …

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 …

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 …

Optimal reinsurance problems under the risk measures, such as Value-at-Risk (VaR) and Tail-Value-at-Risk (TVaR), have … for catastrophic losses. In this paper, we propose a new family of flexible risk measures denoted by LVaR, which is a … weighted combination of VaR and TVaR. Based on the new risk measures, we deal with the optimal reinsurance problem by …

The objective is to study the use of non-translation invariant risk measures within the equal risk pricing (ERP …) methodology for the valuation of financial derivatives. The ability to move beyond the class of convex risk measures considered in … several prior studies provides more flexibility within the pricing scheme. In particular, suitable choices for the risk …

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 …

distribution, may contain more than one parameter. The coherency of the resulting risk measures is ensured by restricting the … exponentiated exponential and Gompertz distributions. Closed-form expressions for risk measures were derived for uniform … risk measures. We then propose a simple plug-in estimate of risk measures and conduct simulation studies to compare and …

volatility, and uncertainty. Traditional risk management models, which rely on probabilistic assumptions and historical data …. CVaR was chosen as the primary risk measure because it is a downside risk measure that focuses on extreme losses, making it … particularly effective in managing the heightened risk of significant downturns in volatile markets like cryptocurrencies. The …