measurement procedure', which includes both of these steps, and introduce a rigorous framework for studying the robustness of risk … measurement procedures and their sensitivity to changes in the data set. Our results point to a conflict between the subadditivity … and robustness of risk measurement procedures and show that the same risk measure may exhibit quite different …

This paper presents empirical evidence on the performance of a number of selected risk measurement models for measuring … VaR risk measure during good and bad times. The soundness of model performance in the accuracy of estimated VaRs are …

-varying dependence structure of market and in VaR and ES measures especially during global financial crises period. Empirical results …

discuss their advantages and limitations. By using both VaR and TVaR to compute the loading, we see that only the latter …

Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR … not to be elicitable which means that backtesting for ES is less straight-forward than, e.g., backtesting for VaR …. Expectiles have been suggested as potentially better alternatives to both ES and VaR. In this paper, we revisit commonly accepted …

discuss their advantages and limitations. By using both VaR and TVaR to compute the loading, we see that only the latter …

discuss their advantages and limitations. By using both VaR and TVaR to compute the loading, we see that only the latter …