We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected Shortfall (ES), take into account both the frequency and the severity of losses. Under VaR a single confidence level is assigned regardless of the size of potential losses. We allow...

In this paper, we study the extent to which any risk measure can lead to superadditive risk assessments, implying the potential for penalizing portfolio diversification. For this purpose we introduce the notion of extreme-aggregation risk measures. The extreme-aggregation measure characterizes...

A statistical functional is elicitable if it can be defined as the minimizer of a suitable expected scoring function (see Gneiting (2011), Ziegel (2013) and the references therein). With financial applications in view, we suggest a slightly more restrictive definition than Gneiting (2011), and...

In dynamic risk measurement the problem emerges of assessing the risk of a financial position at different times. Sufficient conditions are provided for conditional coherent risk measures, in order that the requirements of acceptance, rejection and sequential consistency are satisfied. It is...