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Beyond cash-additive risk measures : when changing the numéraire fails

Farkas, Walter; Koch Medina, Pablo; Munari, Cosimo - 2013

We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest in a pre-specified eligible asset to ensure it is adequately capitalized. Most of the literature has focused on cash-additive risk measures, for which the eligible asset is a...

Persistent link: https://www.econbiz.de/10010258580

Intrinsic risk measures

Farkas, Walter; Smirnow, Alexander - 2016 - First version: October 26, 2016

Monetary risk measures classify a financial position by the minimal amount of external capital that must be added to the position to make it acceptable.We propose a new concept: intrinsic risk measures. The definition via external capital is avoided and only internal resources appear. An...

Persistent link: https://www.econbiz.de/10011620033

Shortfall Deviation Risk : An Alternative for Risk Measurement

Righi, Marcelo Brutti - 2016

protection in risk measurement compared with VaR and ES, especially in times of significant turbulence in riskier scenarios …

Persistent link: https://www.econbiz.de/10013005534

Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of Conditional Tail Expectation

Mohammed, Nawaf; Furman, Edward; Su, Jianxi - 2021

Risk capital allocations (RCAs) are an important tool in quantitative risk management, where they are utilized to, e.g., gauge the profitability of distinct business units, determine the price of a new product, and conduct the marginal economic capital analysis. Nevertheless, the notion of RCA...

Persistent link: https://www.econbiz.de/10013238894

Risk Measures Based on Behavioral Certainty Equivalents

Symann, Paul - 2022

Prospect Theory) always satisfies the well-known axiomatic characterisation of a monetary risk measure, although in rational … Expected Utility Theory this only holds in special cases. In contrast to other literature, this paper takes into account that …

Persistent link: https://www.econbiz.de/10013405991

Impact of Risk : An Alternative Credit Risk Measure Based on Expected Credit Losses for Business Steering and Model Backtesting

Reitgruber, Wolfgang - 2015

A practically oriented, top-down approach to assessing the quality of EL by backtesting with a properly defined risk measure is introduced. In a first step, the concept of risk expenses ("Cost of Risk") has to be extended beyond the classical provisioning view, toward a more adequate capital...

Persistent link: https://www.econbiz.de/10013018343

Extremes on the Discounted Aggregate Claims in a Time Dependent Risk Model

Asimit, Alexandru Vali - 2013

This paper presents an extension of the classical compound Poisson risk model for which the inter-claim time and the forthcoming claim amount are no longer independent random variables. Asymptotic tail probabilities for the discounted aggregate claims are presented when the force of interest is...

Persistent link: https://www.econbiz.de/10013076310

Value-at-Risk vs. Expected Shortfall : Beware of the Aggregation Currency!

Antal, Peter - 2014

This note highlights the impact of changing the aggregation currency when testing for capital adequacy. This is … corresponding capital adequacy test -- critically depends on the aggregation currency. This is in contrast to Value-at-Risk, whose … sign is independent of the chosen aggregation currency. This implies that due caution is needed when using Expected …

Persistent link: https://www.econbiz.de/10013053687

How the Risk Measures Play Important Roles for Tail Risk Management and Diversification

Higashide, Takuo - 2019

In the world of investment, the subject of building a portfolio concerning tail risk is still one of the frequently discussed subjects and unquestionably vital for investors. This paper seeks to examine how the risk measures, lower tail-dependence based on the copulas approach and Conditional...

Persistent link: https://www.econbiz.de/10012889418

Measuring Portfolio Risk Under Partial Dependence Information

Bernard, Carole - 2017

capital can be underestimated when using the Solvency II or RBC capital aggregation formulas …

Persistent link: https://www.econbiz.de/10012973435