In this paper, we propose a novel framework for estimating systemic risk measures and risk allocations based on Markov … Chain Monte Carlo (MCMC) methods. We consider a class of allocations whose jth component can be written as some risk measure … intersection of linear constraints, this class of allocations covers, for example, conditional Value-at-Risk (CoVaR), conditional …

This paper revisits the performance of frequently used risk forecasting methods, such as the Value-at-Risk models. The …

challenges in terms of implementation, risk quantification and impacts on capital requirements. This paper first suggests an … risk capital and presents an illustration applied to an option position. Second, it proposes a methodology to estimate the …