to risk model evaluation using forward looking risk neutral probabilities. In addition to VaR and CVaR we analyse a new … the popular concept of risk weighted assets used in the Basel approach to capital requirements. The formalization allows …

quantile-based coherent risk-measure or spectral risk measure, of which Expected Shortfall is a prime example. We introduce a … class of dynamic risk measures in terms of a certain family of g-expectations driven by Wiener and Poisson point processes …. In analogy with the static case, we show that these risk measures, which we label dynamic spectral risk measures, are …