We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of financial institutions conditional on other … institutions being in distress. We define an institution’s (marginal) contribution to systemic risk as the difference between CoVaR … systemic risk contribution. We argue for macro-prudential regulation based on the degree to which such characteristics forecast …

risky assets. Using coherent measures of risk the sum of the capital requirements of the divisions is larger than the … jointly satisfy three natural fairness requirements for allocating risk capital in illiquid markets: Core Compatibility, Equal … Treatment Property and Strong Monotonicity. Core Compatibility can be viewed as the allocated risk to each coalition (subset) of …

Starting from the requirement that risk measures of financial portfolios should be based on their losses, not their … gains, we define the notion of loss-based risk measure and study the properties of this class of risk measures. We … characterize loss-based risk measures by a representation theorem and give examples of such risk measures. We then discuss the …

This paper mainly focuses on the correlation between live hedge funds return and their value at risk (VaR), which is … return and VaRs (parametric, non-parametric and GARCH). Further research is conducted by sub-dividing the overall period into … Financial Crisis. Besides, the authors identify the approximately negative correlation between hedge fund portfolio return and …

Within the context of risk integration, we introduce in risk measurement stochastic holding period (SHP) models. This … is done in order to obtain a 'liquidity-adjusted risk measure' characterized by the absence of a fixed time horizon. The …

We propose and backtest a multivariate Value-at-Risk model for financial returns based on Tukey's g-and-h distribution …-and-h distributed residuals to three European stock indices and provide results of out-of-sample Value-at-Risk backtests. We find that …

We introduce the formalism of generalized Fourier transforms in the context of risk management. We develop a general … framework in which to efficiently compute the most popular risk measures, value-at-risk and expected shortfall (also known as … conditional value-at-risk). The only ingredient required by our approach is the knowledge of the characteristic function …

changes in the global risk landscape that followed. However, there is scarcity of rigorous studies using empirical data and … analyses of statistically significant changes in global financial risks and sharp increases in conditional Value-at-Risk after … over time, and also tests of the changes in the conditional Value-at-Risk or conditional expected losses. The Clayton …

market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk-return … show that the absence of the risk-return relationship in the high-volatility state is due to leverage and volatility … modification that yields a positive tail risk-return relationship under all states of market volatility …