risk aggregation. The so-called "square-root formula" uses correlation parameters between, for example, market risk, non …-life insurance risk and default risk to determine the company's aggregate capital requirement. To support decision-making, companies … will allocate the required capital back to business segments and risk drivers. We demonstrate that capital allocations …

standard sample sizes. In an application to international government bonds, we detect a high tail{risk and low return situation … during the last decade which can essentially be attributed to increased higher-order tail risk. We also illustrate the … empirical consequences from ignoring higher-dimensional tail risk. …

interval between two quantiles, or in an interval that covers the range of the distribution to the left or right of a quantile …

. However, in many applications such as risk quantification in finance or climatology, one is interested in capturing the tail …

This paper proposes efficient estimators of risk measures in a semiparametric GARCH model defined through moment … when estimating error quantiles. In order to prevent this efficiency loss in quantile estimation, we propose a quantile … estimator based on inverting an empirical likelihood weighted distribution estimator. It is found that the new quantile …