of a financial institution to systemic risk, the marginal expected shortfall (MES). The MES of an institution can be …

for standard sample sizes. In an application to international government bonds, we detect a high tail{risk and low return … situation during the last decade which can essentially be attributed to increased higher{order tail risk. We also illustrate the … empirical consequences from ignoring higher-dimensional tail risk. …

standard sample sizes. In an application to international government bonds, we detect a high tail{risk and low return situation … during the last decade which can essentially be attributed to increased higher-order tail risk. We also illustrate the … empirical consequences from ignoring higher-dimensional tail risk. …

risk aggregation. The so-called "square-root formula" uses correlation parameters between, for example, market risk, non …-life insurance risk and default risk to determine the company's aggregate capital requirement. To support decision-making, companies … will allocate the required capital back to business segments and risk drivers. We demonstrate that capital allocations …