It is an undisputed fact that weather risk increases over time due to climate change. However, qualification of this … statement with regard to the type of weather risk and geographical location is needed. We investigate the application of novel … statistical tools for assessing changes in weather risk over time. We apply local t-test, change point tests and Mann-Kendall test …

quantile and expectile estimation, a platform for risk assessment is provided. ES and implications for tail events under … different distributional scenarios are investigated, particularly we discuss the implications of increased tail risk for mixture … can be successfully estimated on a daily basis using a one-year time horizon across different risk levels. …

The simulation of risk processes is a standard procedure for insurance companies. The generation of simulated … (aggregated) claims is vital for the calculation of the amount of loss that may occur. Simulation of risk processes also appears …

In this paper we propose a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the … parameters over the 100 largest US publicly traded financial institutions. We demonstrate the suitability of this risk measure by … comparing the proposed FRM to other measures for systemic risk, such as VIX, SRISK and Google Trends. We find that mutual …

The introduction of derivatives on Bitcoin enables investors to hedge risk exposures in cryptocurrencies. Because of …, different risk measures, such as value-at-risk, expected shortfall and spectral risk measures are employed to and the optimal … consistent across different risk measures and copulae except for Frank. On the other hand, we observe complex and diverse …