In Lecesne and Roncoroni (2013), we introduce the notion of monetary measure of risk borne by any financial claim. Our … presentation moves from general definitions to concrete instances, including the benchmark measure Value-at-Risk (VaR). Part II … develops a treatment of the class of coherent (monetary) measures of risk put forward by Artzner et al. (1999). Our goal is to …

evaluation of the methodological and empirical advances in the measurement of the extreme market risk. This paper argues that a … sustain the rise of financial markets. Thereafter, this review identified the value at risk (VaR) and VaR-based alternative … expected shortfall (ES) as the principal measures of extreme market risk. The deficiencies in the standard modelling approaches …

In this paper, the generalized Pareto distribution (GPD) copula approach is utilized to solve the conditional value-at-risk …-parametric kernel-smoothed interior and the parametric Pareto upper tail and (iii) Value-at-Risk (VaR) to quantify risk measure. The … minimizing CVaR measure and simulated copula returns combined outperforms the risk/return of domestic portfolios, such as the US …