The recently finalized Basel II Capital Accord requires banks to adopt a procedure to estimate the operational risk … capital charge. Under the Advanced Measurement Approaches, that are currently mandated for all large internationally active US … misspecification on resulting expected loss, Value-at-Risk, and Conditional Value-at-Risk figures and show that underestimation of the …

We investigate a systemic risk measure known as CoVaR that represents the value-at-risk (VaR) of a financial system …

. Based on the empirical evidence presented in this paper, our framework offers more realistic portfolio risk measures and a … more tractable method for portfolio optimization. -- portfolio risk ; portfolio optimization ; portfolio budgeting …