Volatility is the most widely-used measure of risk but its relevance is questionable in many settings. For long …. Hence, their higher volatility essentially is higher upside risk; that is, uncertainty about how much better, not how much …

risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …

risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …

We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest …-additive risk measures, for which the eligible asset is a risk-free bond, on the grounds that the general case can be reduced to the … provide a variety of finiteness and continuity results for the corresponding risk measures and apply them to risk measures …

This paper analyzes portfolio risk and volatility in the presence of constraints on portfolio rebalancing frequency …. This investigation is motivated by the incremental risk charge (IRC) introduced by the Basel Committee on Banking … Supervision. In contrast to the standard market risk measure based on a ten-day value-at-risk calculated at 99% confidence, the …

/09 another way to deal with diversification came up, that is equally-weighted risk contribution portfolio. This kind of procedure … leads not to equalize the portfolio weights but the risk weights. The only thing to understand is how we can measure risk …. While many authors focus on volatility, in this paper we shall present an alternative and coherent risk measure, that is …

The recent experience from the global financial crisis has raised serious doubts about the accuracy of standard risk … measures as a tool to quantify extreme downward risks. Standard risk measures are subject to a “model risk” due to the … specification and estimation uncertainty. We propose a general adjustment of the Value-at-Risk to compute risk measures robust to …

Existence of underestimation bias on risk for optimized portfolio is well known to quantitative fund managers who … construct their portfolio from optimizer (mathematical software) by using multi factor risk model. There are some reasons for … underestimation of portfolio risk. One of the reasons of underestimation lays in sampling bias of covariance matrix of factor returns …

This article analyzes the tail behavior of energy price risk using a multivariate approach, in which the exposure to … estimate the models and evaluate tail risk measures for the portfolio's profit-and-loss distribution for long and short … portfolios show the importance of heavy tails and positive asymmetry in the distribution of energy risk factors. Thus, tail risk …

The paper proposes a new approach to model risk measurement based on the Wasserstein distance between two probability … measures. It formulates the theoretical motivation resulting from the interpretation of fictitious adversary of robust risk … nominal model. The Wasserstein approach suits for all types of model risk problems, ranging from the single-asset hedging risk …