Choosing a proper external risk measure is of great regulatory importance, as exemplified in the Basel II and Basel III … Accord which use Value-at-Risk (VaR) with scenario analysis as the risk measures for setting capital requirements. We argue a … good external risk measure should be robust with respect to model misspecification and small changes in the data. A new …

Risk (VaR) framework for the market risk capital of bank trading books. While the new rule boosts capital standards, the … capital requirement seems overly burdensome and not sufficiently responsive to market dynamics. It also increases model risk … and opaqueness of capital estimates. Chaudhury (2011) recently reported that the extreme tail risk of US stock portfolios …

The article deals with the liquidity risk in the banks in the context of the financial crisis. At first, the balance … sheet and market liquidity are defined and the main principles of the methods for measuring liquidity risk, which banks use …

The paper proposes a new approach to model risk measurement based on the Wasserstein distance between two probability … measures. It formulates the theoretical motivation resulting from the interpretation of fictitious adversary of robust risk … nominal model. The Wasserstein approach suits for all types of model risk problems, ranging from the single-asset hedging risk …

incorporate the liquidity risk into the standard risk measures. We consider a one-period risk measurement model. The liquidity …We present a general framework for measuring the liquidity risk. The theoretical framework defines risk measures that … risk is defined as the risk that a security or a portfolio of securities cannot be sold or bought without causing changes …

The forward-looking nature of option market data allows one to derive economically-based and model-free risk measures … classical risk measures for the S&P500 Index. Delivering good results both at short and long time horizons, the proposed option …-implied risk metrics emerge as a convenient alternative to the existing risk measures …

This paper attempts to provide a decision-theoretic foundation for the measurement of economic tail risk, which is not … only closely related to utility theory but also relevant to statistical model uncertainty. The main result is that the only … risk measures that satisfy a set of economic axioms for the Choquet expected utility and the statistical property of …

returns of financial and other assets. This feature makes it an appealing candidate for the computation of value at risk and … expected shortfall measures, used by regulators, investors, portfolio managers and actuaries to measure and manage the risk … value at risk, expected shortfall and downside risk measures for asset values and returns based on the SGT distribution. An …

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 …