must calculate the market risk capital requirements based on the Expected Shortfall (ES) measure, replacing the Value at … Risk (VaR) measure. In the financial literature, there are many papers dedicated to compare VaR approaches but there are … risk measure and loss functions. The results indicate that the method based on the conditional Extreme Value Theory (EVT …

Accurate estimation of different risk measures for financial portfolios is of utmost importance equally for financial … level risk measure estimates by simulating portfolio level forecasts conditionally on a stress factor. We then introduce a … quantile-based approach to observe the behavior of the risk measures given a particular state of the conditioning asset or …

For risk management, implementing risk measures and backtesting them are essential tasks. Since the expected shortfall … (ES) possesses coherence and tail sensitivity, the Basel Committee has raised the option to replace the classical risk … measure value-at-risk (VaR) with ES. However, the techniques for the assessment of ES are still scarce. Meanwhile …