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 …

We provide an economic valuation of the riskiness of risk models. We estimate the impact of model risks (estimation and … specification) on VaR estimates. We find that integrating the model risk into the VaR computations implies a substantial correction … relies on a backtesting framework, for integrating the global model risk into VaR estimates …

This paper characterizes the stochastic deterioration resulting from taking a zero-mean financial risk in the presence … of correlated non-financial background risk. We show in particular that it has an equivalent stochastic order as well as … stochastic deterioration can be decomposed into a "correlation increase'' and a "marginal risk increase''. We further …

How can risk of a company be allocated to its divisions and attributed to risk factors? The Euler principle allows for … an economically justified allocation of risk to different divisions. We introduce a method that generalizes the Euler … principle to attribute risk to its driving factors when these factors affect losses in a nonlinear way. The method splits loss …

Financial risk measurement is a challenging task because both the types of risk and their measurement techniques evolve … quickly. This book collects a number of novel contributions for the measurement of financial risk, which addresses partially … explored risks or risk takers in a wide variety of empirical contexts. …