Starting from the requirement that risk measures of financial portfolios should be based on their losses, not their … gains, we define the notion of loss-based risk measure and study the properties of this class of risk measures. We … characterize loss-based risk measures by a representation theorem and give examples of such risk measures. We then discuss the …

evaluation of the methodological and empirical advances in the measurement of the extreme market risk. This paper argues that a … sustain the rise of financial markets. Thereafter, this review identified the value at risk (VaR) and VaR-based alternative … expected shortfall (ES) as the principal measures of extreme market risk. The deficiencies in the standard modelling approaches …

investment's Value-at-Risk as a reasonable calculation of the worst threat an action appears to make possible, and its return … offer. In exploring the extension of the Value-at-Risk approach from applications to investments in financial assets to … applications to investments in real assets, the properties of Value-at-Risk as a risk measure are reviewed. Recognizing that Value-at-Risk …

strategic manager and strategic management researcher, chapter five shows how ABRM can be used to integrate risk measures in the … diversifiable risk from portfolio investment is less than it might appear when using models derived from market data …

the firm, this paper proposes an alternative accounting based approach: accounting based risk measurement (ABRM … risk. They are of increasing importance in financial accounting, including the valuation of goodwill and other intangibles …). Alternatives to beta are computed from planning and budgeting metrics at firm level to produce consistent risk estimates factoring …

[Update: Within four weeks of the original publication of this research report, Risk Magazine reported in its 28th … February 2012 issue story titled 'Goodbye VaR? Basel to Consider Other Risk Metrics': "A review of trading book capital rules …, due to be launched in March by the Basel Committee on Banking Supervision, will consider ditching value-at-risk as the …

In this study we consider the risk estimation as a stochastic process based on the Sample Quantile Process (SQP …) - which is a generalization of the Value-at-Risk calculated on a rolling sample. Using SQP's, we are able to show and quantify … the pro-cyclicality of the current way financial institutions measure their risk. Analysing 11 stock indices, we show that …

for continuous risk aversion functions and can be applied to problems in portfolio theory to analyze the incremental …A decomposition of a sub-class of spectral risk measures is introduced in terms of L-moments accounting for geometric … completely the spectral risk measures with square-integrable risk aversion functions and can be regarded as a link between higher …

the present paper we call such combinations ‘coupled risk measures' and develop a statistical inferential theory for them …Considerable literature has been devoted to developing statistical inferential results for risk measures, especially … a number of risk measures that are of the form of ratios, or even more complex combinations, of two L-functionals. In …

broadened, which makes statistical inference trickier. To facilitate a straightforward transition from the risk measurement … simulations. Finally, applications of smoothed quantiles to risk measurement (e.g., estimation of distortion risk measures such as …Many risk measures can be defined through the quantile function of the underlying loss variable (e.g., a class of …