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From BASEL III to BASEL IV and beyond : expected shortfall and expectile risk measures

Zaevski, Tsvetelin S.; Nedeltchev, Dragomir C. - In: International review of financial analysis 87 (2023), pp. 1-12

Persistent link: https://www.econbiz.de/10014460567

Aggregation-robustness and model uncertainty of regulatory risk measures

Embrechts, Paul; Wang, Bin; Wang, Ruodu - In: Finance and stochastics 19 (2015) 4, pp. 763-790

Persistent link: https://www.econbiz.de/10011420503

Comparison of market risk models with respect to suggested changes of Basel accord

Stiborová, Eliška; Sznapková, Barbora; Tichný, Tomáš - In: Acta oeconomica : periodical of the Hungarian Academy … 64 (2014), pp. 257-274

Persistent link: https://www.econbiz.de/10010474360

Capital allocation for portfolios with non-linear risk aggregation

Boonen, Tim J.; Tsanakas, Andreas; Wüthrich, Mario V. - In: Insurance / Mathematics & economics 72 (2017), pp. 95-106

Persistent link: https://www.econbiz.de/10011694391

Risk measures based on benchmark loss distributions

Bignozzi, Valeria; Burzoni, Matteo; Munari, Cosimo-Andrea - 2018

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 …

Persistent link: https://www.econbiz.de/10011900226