Chen, Kan; Cheng, Tuoyuan - 2022
Value-at-Risk (VaR) and Expected Shortfall (ES) are common high quantile- based risk measures adopted in financial … regulations and risk management. In this paper, we propose a tail risk measure based on the most probable maximum size of risk … events (MPMR) that can occur over a length of time. MPMR underscores the dependence of the tail risk on the risk management …