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 analyses the exposure to climate risk of ABS, an asset class frequently pledged as collateral in the … and Medium Enterprises (SMEs) and explores ways to measure their climate risk based on the characteristics of the … computation of ABS climate related risk proxies. Without necessarily being able to measure a concrete impact, we carved a series …

The paper deals with maritime risk, which we consider important, no doubt, for ship-owners acting in volatile markets …. Traditionally, risk is measured by "standard deviation". Other risk measures like "excess kurtosis", "excess skewness", "long …-term dependence" and the "catastrophe propensity" were ignored. Risk in 1900 was based on the mathematical laws of Chance and …

“Climate change adaptation”, “building resilience” and “vulnerability and risk reduction” are noble words, but do we … questions. The world has recently experienced disasters of a magnitude rarely seen before: the cascading disaster in Japan, the …- and non-climate-related, sudden-onset and creeping hazards will most likely increase the risk of crises and disasters in …

We examine the connection between tail risk — as measured in Kelly and Jiang (2014) — and the cross-section of expected … risk appears to forecast discount rates — and not cash flows — which seems inconsistent with crash-based explanations of … the importance of tail risk. We also compare the time series of tail risk to measures of aggregate uncertainty, a measure …

can tell us about the perception of risk associated with these extreme events. We will also point out issues that remain …