In Lecesne and Roncoroni (2013), we introduce the notion of monetary measure of risk borne by any financial claim. Our … presentation moves from general definitions to concrete instances, including the benchmark measure Value-at-Risk (VaR). Part II … develops a treatment of the class of coherent (monetary) measures of risk put forward by Artzner et al. (1999). Our goal is to …

This paper is devoted to risk management and risk measurement methods. The author considers methods of risk measurement … and proposes the Inte- gral Sum of Differential Weighted Indexes of Risks (or ISDWIR) method of risk measurement. The … is also compared with other risk measurement methods. …

evaluation of the methodological and empirical advances in the measurement of the extreme market risk. This paper argues that a … sustain the rise of financial markets. Thereafter, this review identified the value at risk (VaR) and VaR-based alternative … expected shortfall (ES) as the principal measures of extreme market risk. The deficiencies in the standard modelling approaches …