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 …

the main challenges for regulators in terms of bank risk measurement. The study shows that substantial challenges for … discussion concerning proper risk measurement in regulatory frameworks, such as the Basel Accord or the European Banking …The latest financial crisis has exposed substantial weaknesses in the bank risk models used by national regulators as …

claims. The current regulatory requirements based on Value at Risk and Average Value at Risk limit the probability of default … resolve this failure by developing a novel risk measure, Recovery Value at Risk. Our conceptual approach can flexibly be … extended and allows the construction of general recovery risk measures for various risk management purposes. By design, these …