In this age of international terrorism and international economic contagion, it is clear that globalization in its broadest sense - i.e., the breaking down of barriers - is often a double-edged sword. The world economy of the early twenty-first century offers substantial growth potential and...

The aggregation of individual risks into total risk using a weighting variable multiplied by two ratio variables representing incidence and intensity is an important task for risk professionals. For example, expected loss (EL) of a loan is the product of exposure at default (EAD), probability of...

We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected Shortfall (ES), take into account both the frequency and the severity of losses. Under VaR a single confidence level is assigned regardless of the size of potential losses. We allow...