In this paper, the generalized Pareto distribution (GPD) copula approach is utilized to solve the conditional value-at-risk …-parametric kernel-smoothed interior and the parametric Pareto upper tail and (iii) Value-at-Risk (VaR) to quantify risk measure. The … minimizing CVaR measure and simulated copula returns combined outperforms the risk/return of domestic portfolios, such as the US …

such policies. A typical industry practice consists of using fund mapping regressions to represent basis risk stemming from …

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 …

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 …

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 …

understanding diversification strategies. It introduces entropic value at risk (EVaR) as a coherent risk measure, which is an upper … bound to the conditional value at risk (CVaR), and explores its generalization, relativistic value at risk (RLVaR), rooted …, particularly in scenarios of heightened risk and increased concentration, crucial for mitigating negative net performances during …

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 …