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 …

This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those … characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and …

on various methods of the optimal tail selection in risk measurement. The results indicate which method may be useful in … objective is to compare the methods and to identify those which can be recognized as useful in risk measurement. The results …

Portfolio credit risk is often concerned with the tail distribution of the total loss, defined to be the sum of default … also discuss estimates for Value-at-Risk, and observe that our results may be extended to cases where the number of factors …

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 …

of financial assets proves their effectiveness in modeling multivariate financial series and assessing risk measures …, such as the value at risk and the expected shortfall. …

in the computation of Value-at-Risk (VaR). Results show that copulas provide more sophisticated results in terms of the …

Under the revised market risk framework of the Basel Committee on Banking Supervision, the model validation regime for … internal models now requires that models capture the tail risk in profit-and-loss (P&L) distributions at the trading desk level …-desk value-at-risk (VaR) backtest as a special case. The spectral tests make use of realised probability integral transform …

models are employed for numerically computing quantile-based risk measures in a collective decision-making context. …

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