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 …

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. …

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 …

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

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 …

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 …

In this paper, we propose a novel framework for estimating systemic risk measures and risk allocations based on Markov … Chain Monte Carlo (MCMC) methods. We consider a class of allocations whose jth component can be written as some risk measure … intersection of linear constraints, this class of allocations covers, for example, conditional Value-at-Risk (CoVaR), conditional …

exponential distribution. We suggest that the returns on stock are variance-gamma distributed. The value at risk, the expected … shortfall and the entropic risk measure for this portfolio are calculated in closed forms. The obtained formulas exploit the …