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Comprehensive risk measure : current challenges

Prorokowski, Lukasz; Prorokowski, Hubert - In: Journal of financial regulation and compliance : an … 22 (2014) 3, pp. 271-284

Persistent link: https://www.econbiz.de/10010471080

Concave risk measures in international capital regulation

Kondor, Imre; Szepessy, András; Ujvárosi, Tünde - In: Risk measures for the 21st century, (pp. 51-59). 2004

Persistent link: https://www.econbiz.de/10002081507

A theory for measures of tail risk

Liu, Fangda; Wang, Ruodu - In: Mathematics of operations research 46 (2021) 3, pp. 1109-1128

Persistent link: https://www.econbiz.de/10012625694

Scenario-based risk evaluation

Wang, Ruodu; Ziegel, Johanna F. - In: Finance and stochastics 25 (2021) 4, pp. 725-756

Persistent link: https://www.econbiz.de/10012665201

Salience, systemic risk and spectral risk measures as capital requirements

Matyska, Branka - In: Journal of economic dynamics & control 125 (2021), pp. 1-29

Persistent link: https://www.econbiz.de/10012666998

Risk measures derived from a regulator's perspective on the regulatory capital requirements for insurers

Cai, Jun; Mao, Tiantian - In: ASTIN bulletin : the journal of the International … 50 (2020) 3, pp. 1065-1092

Persistent link: https://www.econbiz.de/10012307399

How to turn uncertainties of operational risk capital into opportunities from a risk management perspective

Meunier, Philippe; Bakker, Arjan - In: The journal of operational risk 11 (2016) 2, pp. 31-68

Persistent link: https://www.econbiz.de/10011600225

Bigger is not always safer : a critical analysis of the subadditivity assumption for coherent risk measures

Rau-Bredow, Hans - In: Risks : open access journal 7 (2019) 3/91, pp. 1-18

This paper provides a critical analysis of the subadditivity axiom, which is the key condition for coherent risk … measures. Contrary to the subadditivity assumption, bank mergers can create extra risk. We begin with an analysis how a merger … rejected, since a subadditive risk measure, by definition, cannot account for such increased risks. …

Persistent link: https://www.econbiz.de/10012126479

Risk or regulatory capital? : bringing distributions back in the foreground

Guégan, Dominique; Hassani, Bertrand - 2015

Persistent link: https://www.econbiz.de/10011635443

The validation of different systemic risk measurement models

Wang, Hu; Jiang, Shuyang - In: The journal of risk model validation 17 (2023) 2, pp. 83-97

Persistent link: https://www.econbiz.de/10014485771