The Basel Committee on Banking Supervision (BIS) has recently sanctioned Expected Shortfall (ES) as the market risk … measure to be used for banking regulatory purposes, replacing the well-known Value-at-Risk (VaR). This change is motivated by … the appealing theoretical properties of ES as a measure of risk and the poor ones of VaR. In particular, VaR fails to …

Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR … desirable properties of risk measures like coherence, comonotonic additivity, robustness and elicitability. We check VaR, ES and … their impact on capital allocation, an important issue in risk management. We find that, despite the caveats that apply to …

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit … it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a … probabilistic approach to examine the consequences of its presence on the risk loading of the premium of a portfolio of insurance …

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit … it. One of them is the existence of systemic risk that affects all of the policies at the same time. We introduce here a … probabilistic approach to examine the consequences of its presence on the risk loading of the premium of a portfolio of insurance …

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit … it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a … probabilistic approach to examine the consequences of its presence on the risk loading of the premium of a portfolio of insurance …

risk transfers could modify the risk profile of entire financial systems, and thus an enriched simulation algorithm able to … account for risk transfers is proposed. Finally, we discuss how some of the limitations of our simulations are a reflection of …

In this paper, we provide an overview of the concerns surrounding the variations in the calculation of risk … actual and perceived problems with RWAs, and improve the use of risk-sensitive capital ratios. …

-crisis period were more likely to fail afterward. The likelihood of bank failure also increases with bank risk-taking. In the cross …-section, the smaller domestically-oriented banks were relatively more vulnerable to liquidity risk, while the large cross …-border banks were more susceptible to solvency risk due to excessive leverage. The results support the proposed Basel III …