This paper investigates the risk exposure for options and proposes MaxVaR as an alternative risk measure which captures … the risk better than Value-at-Risk especially. While VaR is a measure of end-of-horizon risk, MaxVaR captures the interim … risk exposure of a position or a portfolio. MaxVaR is a more stringent risk measure as it assesses the risk during the risk …

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 …

to market extreme scenarios, incorporating the need of regulators and financial institutions in more sensitive risk … loss distribution. The findings show that our VaR estimations are able to capture the tail risk and react to market …

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 …

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 …

While a lot of research concentrates on the respective merits of VaR and TCE, which are the two most classic risk …. In this paper, we introduce a new risk indicator that extends TCE to take into account higher-order risks. We compare the …

We explore a multi-asset jump-diffusion pricing model, combining a systemic risk asset with several conditionally … assets that works even if the data are incomplete and asynchronous. Alternatively, to find risk-neutral parameters, the least … propose a Laplace-transform-based approach to computing Value at Risk (VaR) and conditional VaR (also known as the expected …

The Value-at-Risk (VaR) metric serves as a pivotal tool for quantifying market risk, offering an estimation of … implications for managerial decision-making in financial risk management. …