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

We discuss when and why custom multi-factor risk models are warranted and give source code for computing some risk … factors. Pension/mutual funds do not require customization but standardization. However, using standardized risk models in … quant trading with much shorter holding horizons is suboptimal: (1) longer horizon risk factors (value, growth, etc …

Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult … by a heavy-tailed background risk. A particular attention is given to the distortion and weighted risk measures and … allocations, as well as their special cases such as the conditional layer expectation, tail value at risk, and the truncated tail …

We consider an insurance company whose risk reserve is given by a Brownian motion with drift and which is able to … with other risk measures, exponential utility and the probability of ruin. Following recent research, we assume that …

This paper proposes risk sharing strategies, which allow insurers to cooperate and diversify non-systemic risk. We deal … with both deviation measures and coherent risk measures and provide general mathematical methods applying to optimize them … all. Numerical examples are given in order to illustrate how efficiently the non-systemic risk can be diversified and how …

We study a new risk measure inspired from risk theory with a heat wave risk analysis motivation. We show that this risk … useful for measuring the potential impact of climate change on heat wave risk. Numerical illustrations are given. …

Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, industrial and … investor is faced with a Markowitz type of risk reward problem at the final horizon, where variance as a measure of risk is …

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 …

risk measure and expected utility. …

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 …