[Update: Within four weeks of the original publication of this research report, Risk Magazine reported in its 28th … February 2012 issue story titled 'Goodbye VaR? Basel to Consider Other Risk Metrics': "A review of trading book capital rules …, due to be launched in March by the Basel Committee on Banking Supervision, will consider ditching value-at-risk as the …

Risk evaluation is a forecast, and its validity must be backtested. Probability distribution forecasts are used in this … correlation), and that the bivariate forecasts provided by a risk methodology based on historical innovations performs correctly …

The Euler allocation scheme is a well-suited risk management tool that meets the three axioms of capital allocation …: diversification, continuity, and RORAC compatible. However, the Euler allocation scheme of the risk measure VaR meets the desirable … property of portfolio-invariance only under the asymptotically single-risk-factor model (ASRF) framework. Without portfolio …

copulas tend to understate them. Since risk aversion and efficient markets suggest that investors should demand a premium for …

We obtain new methodological and empirical perspectives on the fundamental risk-return tradeoff in stock returns by … findings, these constraints result in a nonlinear model implying a bounded and positive risk-return relationship. Our empirical … results show that the positive risk-return relation in the U.S. data is statistically significant over the mean return …

for the complete cat bond market from 2001 to 2020, we provide insights into relevant risk factors in the cross-section of …

extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or …