We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected … probability of occurrence. The corresponding risk measure, called Loss VaR (LVaR), determines the minimal capital injection that … and applications to capital adequacy, portfolio risk management and catastrophic risk are presented …

In order to address the risk of systemic crises it is of paramount importance to have advance information about banks … actual observation of tail risk events. Interestingly, we find that estimated tail risk exposures for U.S. Bank Holding … actually more crisis prone. We also study the determinants of banks' tail risk exposures and find that their key drivers are …