obtain significantly more data points for the estimation of the respective risk measures. The presented methodology in the α …Weekly, quarterly and yearly risk measures are crucial for risk reporting according to Basel III and Solvency II. For … sufficient in order to estimate Value at Risk and Expected Shortfall sufficiently, given confidence levels of 99.9% and 99 …

We propose a flexible CoVaR-based measure to estimate the tail risk contagion across financial institutes in a high … be utilized to monitor risk spillover channels for risk supervision. Empirically, we investigate 16 publicly-listed banks … suggests that the tail risk is inclined to spill over into the same type of banks. Besides, we find that not only state …