This articlemodels the dependence risk and resource allocation characteristics of two 20-stock coal–uranium and oil … five risk measures. The paper's objectives are to find out if the oil and gas stocks are riskier than the coal and uranium … stocks, to identify the optimization method and risk measure that produce the best risk-return trade-off, to recognize the …

Conditional value at risk (CoVaR) and marginal expected shortfall (MES) have been proposed as measures of systemic risk …. Some argue these statistics should be used to impose a “systemic risk tax” on financial institutions. These recommendations … systematic risk; and, (3) poorly measure asymptotic tail dependence in stock returns. We introduce a null hypothesis to separate …

the main challenges for regulators in terms of bank risk measurement. The study shows that substantial challenges for … discussion concerning proper risk measurement in regulatory frameworks, such as the Basel Accord or the European Banking …The latest financial crisis has exposed substantial weaknesses in the bank risk models used by national regulators as …