We investigate how the spectral risk measure associated with holding stocks rather than a risk-free deposit, depends on … the holding period. Previous papers have shown that within a limited class of spectral risk measures, and when the stock … price follows specific processes, spectral risk becomes negative at long periods. We generalize this result for arbitrary …

results for maturity-randomized first-passage probabilities and allows for a derivation of diffusion and single jump risk …The present article deals with intra-horizon risk in models with jumps. Our general understanding of intra-horizon risk … quantifying market risk by strictly relying on point-in-time measures cannot be deemed a satisfactory approach in general. Instead …

for market risk. The Committee has focused, among other things, on the two key areas of moving from Value-at-Risk (VaR) to … Expected Shortfall (ES) and considering a comprehensive incorporation of the risk of market illiquidity by extending the risk … measurement horizon. The estimation of the ES for several trading desks and taking into account different liquidity horizons is …

-VaR, as objective measures of downside risk for financial prospects. We establish the connections of the VaRs with the first … alternative risk measures that are associated with the weaker behaviour assumptions underlying the VaRs …