riskiness to continuous random variables. For many continuous random variables, the risk measure is equal to the worst-case risk … measure, i.e. the maximal possible loss incurred by that gamble. We also extend the Foster-Hart risk measure to dynamic …

We develop robust models for optimization of the VaR and CVaR risk measures with a minimum expected return constraint …

Value-at-Risk bounds for aggregated risks have been derived in the literature in settings where besides the marginal … distributions of the individual risk factors one-sided bounds for the joint distribution respectively the copula of the risks are … available. In applications it turns out that these improved standard bounds on Value-at-Risk tend to be too wide to be relevant …

One of the key components of financial risk management is risk measurement. This typically requires modeling …

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 … method is based on dynamic enterprise risk matri- ces. The matrix describes the changes of corporate risk values over the …