In dynamic risk measurement the problem emerges of assessing the risk of a financial position at different times. Sufficient conditions are provided for conditional coherent risk measures, in order that the requirements of acceptance, rejection and sequential consistency are satisfied. It is...

In this paper, we study the extent to which any risk measure can lead to superadditive risk assessments, implying the potential for penalizing portfolio diversification. For this purpose we introduce the notion of extreme-aggregation risk measures. The extreme-aggregation measure characterizes...

The required solvency capital for a financial portfolio is typically given by a tail risk measure such as Value-at-Risk. Estimating the value of that risk measure from a limited, often small, sample of data gives rise to potential errors in the selection of the statistical model and the...