theory based models provide a reasonable degree of safety while widespread VaR models do not provide adequate risk coverage …The purpose of this paper is to investigate the performance of VaR models at measuring risk for WTI oil one …-month futures returns. Risk models, ranging from industry standards such as RiskMetrics and historical simulation to conditional …

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 …

multivariate normal distributed assets and claims that an overall minimum of the required risk capital can be obtained by refining … determination of the required risk capital. The approach provides guidelines for asset (and liability) allocation to minimize the … required risk capital …

strategic manager and strategic management researcher, chapter five shows how ABRM can be used to integrate risk measures in the … diversifiable risk from portfolio investment is less than it might appear when using models derived from market data …

The risk of a future payoff is commonly quantified by calculating the costs of a hedging portfolio such that the … resulting position is acceptable, i.e. that it passes a capital adequacy test. A multi-asset risk measure describes the minimal … alternative methodology of intrinsic risk measures was introduced in the literature. These ask for the minimal proportion of the …

We introduce the definition of set-valued capital allocation rule, in the context of set- valued risk measures. In … gradient and sub-gradient of a risk measure, and under some reasonable assumptions, we define some set-valued capital … allocation rules relying on the representation theorems for coherent and convex set-valued risk measures and investigate their …

In this study we consider the risk estimation as a stochastic process based on the Sample Quantile Process (SQP …, if the past volatility is low, the historical computation of the risk measure underestimates the future risk, while in … periods of high volatility, the risk measure overestimates the risk.Moreover, using a simple GARCH (1,1) model, we conclude …

Robustness of risk measures to changes in underlying loss distributions (distributional uncertainty) is of crucial … importance when making well-informed risk management decisions. In this paper, we quantify for any given distortion risk measure … application to model risk assessment …

issue of errors stemming from the internal model estimation process in the context of credit risk, calling for margins of … Asymptotic Single Risk Factor framework and we show how to introduce a correction to control for the estimation error. Our …In many standard derivation and presentations of risk measures like the Value-at-Risk or the Expected Shortfall, it is …