In this paper we review existing statistical measures for systemic risk and discuss their strengths and weaknesses. Among them we discuss the Conditional Value-at-Risk (CoVaR) introduced by Adrian and Brunnermeier (2010) and the Systemic Expected Shortfall (SES) of Acharya, Pedersen, Philippon...

Robustness of risk measures to changes in underlying loss distributions (distributional uncertainty) is of crucial importance when making well-informed risk management decisions. In this paper, we quantify for any given distortion risk measure its robustness to distributional uncertainty by...

In this paper, we assess the magnitude of model uncertainty of credit risk portfolio models, i.e., what is the maximum and minimum Value-at-Risk (VaR) of a portfolio of risky loans that can be justi ed given a certain amount of available information. Puccetti and Ruschendorf (2012a) and...

Recent literature deals with bounds on the Value-at-Risk (VaR) of risky portfolios when only the marginal distributions of the components are known. In this paper we study Value-at-Risk bounds when the variance of the portfolio sum is also known, a situation that is of considerable interest in...

We propose a novel model-free approach for extracting the risk-neutral quantile function of an asset using options written on this asset. We develop two applications. First, we show how for a given stochastic asset model our approach makes it possible to simulate the underlying terminal asset...