This articlemodels the dependence risk and resource allocation characteristics of two 20-stock coal–uranium and oil … five risk measures. The paper's objectives are to find out if the oil and gas stocks are riskier than the coal and uranium … stocks, to identify the optimization method and risk measure that produce the best risk-return trade-off, to recognize the …

the Fundamental Review of the Trading Book. Under the new standards, default risk needs to be measured and capitalized … through a dedicated Default Risk Charge (DRC). While quantitative impact studies are ongoing and banks are preparing for these …-year capital horizon at a 99.9% confidence level. The article discusses selected risk factor models to derive simulation-based loss …

With the regulatory requirements for risk management, Value at Risk (VaR) has become an essential tool in determining … capital reserves to protect the risk induced by adverse market movements. The fact that VaR is not coherent has motivated the … industry to explore alternative risk measures like expected shortfall. The first objective of this paper is to propose …