This paper is devoted to risk management and risk measurement methods. The author considers methods of risk measurement … and proposes the Inte- gral Sum of Differential Weighted Indexes of Risks (or ISDWIR) method of risk measurement. The … is also compared with other risk measurement methods. …

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 …

the risk of extreme events since they appear as a natural extension of multivariate extreme-value theory to the level of …An accurate assessment of the risk of extreme environmental events is of great importance for populations, authorities … and the banking/insurance/reinsurance industry. Koch (2017) introduced a notion of spatial risk measure and a …

The article describes the use of a Value at Risk measure to analyze the effectiveness of a bank. Among various existing … interest margins by using the Value at Risk measure. The newly established measures were then subjected to empirical tests … of risk-adjusted bank interest margins were calculated, which provided a way to set the minimum levels that can be …