We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected … probability of occurrence. The corresponding risk measure, called Loss VaR (LVaR), determines the minimal capital injection that … and applications to capital adequacy, portfolio risk management and catastrophic risk are presented …

This paper attempts to provide a decision-theoretic foundation for the measurement of economic tail risk, which is not … only closely related to utility theory but also relevant to statistical model uncertainty. The main result is that the only … risk measures that satisfy a set of economic axioms for the Choquet expected utility and the statistical property of …

We introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by … adjusted Expected Shortfalls quantify risk as the minimum amount of capital that has to be raised and injected into a financial … probability level p\in[0,1]. Through the choice of the benchmark risk profile g one can tailor the risk assessment to the specific …

This paper considers the problem of measuring the exposure to dependence risk carried by a portfolio with an arbitrary … number of two-asset derivative contracts. We develop a worst-case risk measure computed over a set of dependence scenarios … exposure to dependence risk where usual sensitivity methods fail to reveal it. We also illustrate the ability of the proposed …

Various concepts appeared in the existing literature to evaluate the risk exposure of a financial or insurance firm … or Tail Conditional Expectation, are simply some conditional expectations that evaluate the risk in adverse scenarios and … are useful for signaling to a decision-maker the poor performance of its risk portfolio or to identify which sub …

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 intrinsic risk measure is defined by the smallest percentage of the …

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 …

We define and develop an approach for risk budgeting allocation -- a risk diversification portfolio strategy -- where … risk is measured using a dynamic time-consistent risk measure. For this, we introduce a notion of dynamic risk … contributions that generalise the classical Euler contributions and which allow us to obtain dynamic risk contributions in a …

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 …

Risk and return play a central role in financial theory. Return is easily measurable and is a percentage number … indicating by how much the value of an investment or asset has changed from the previous period. But how should risk be measured …? Over longer holding periods, return generation is associated with the risk taken. How can risk be measured to facilitate …