Backtesting risk measures represents a challenge and complex methods are often required. In this paper, we propose a … new framework for backtesting that can be applied to every law invariant risk measures. We base our approach on the … formalization of the concept of level of coverage associated with the risk model as defined in the original Basel Accord. Thus, we …

The partial attributable risk has been introduced as a tool for partitioning the responsibility for causing an adverse … event between various risk factors. It has arisen from epidemiology but is also a valid general risk allocation concept … attributable risk has been missing so that confidence intervals were not directly available. This paper provides the asymptotic …