assumptions alone in measuring risk. Cushioning against risk has always created a plethora of complexities and challenges; hence …, this paper attempts to analyse statistical properties of various risk measures in a not normal distribution and provide a … financial blueprint on how to manage risk. It is assumed that using old assumptions of normality alone in a distribution is not …

Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult … by a heavy-tailed background risk. A particular attention is given to the distortion and weighted risk measures and … allocations, as well as their special cases such as the conditional layer expectation, tail value at risk, and the truncated tail …

This paper contains comments on Nonparametric Tail Risk, Stock Returns and the Macroeconomy …

copulas and minimum risk optimal portfolios with respect to five risk measures within the context of the global financial … Securities Exchange. The pair vine copulas prove to be powerful tools for the modeling of changing dependence risk under three …