In this paper, we derive upper and lower bounds on the Range Value-at-Risk of the portfolio loss when we only know its … other situations of interest. Specifically, we apply our method to obtain risk bounds in the case of a portfolio loss that …

study a distributionally robust reinsurance problem by minimizing the maximum Value-at-Risk (or the worst-case VaR) of the … show that the worst-case Conditional Value-at-Risk of the total retained loss of the insurer is equal to the worst-case VaR …

In this paper, we propose a novel approach on how to estimate systemic risk and identify its key determinants. For all … affected if the tail risk of the financial sector increases. We find that key accounting and market valuation metrics such as … risk profile of a financial institution. In contrast to earlier studies, the employed panel vector autoregression (PVAR …

Weekly, quarterly and yearly risk measures are crucial for risk reporting according to Basel III and Solvency II. For … sufficient in order to estimate Value at Risk and Expected Shortfall sufficiently, given confidence levels of 99.9% and 99 … obtain significantly more data points for the estimation of the respective risk measures. The presented methodology in the α …

We propose and backtest a multivariate Value-at-Risk model for financial returns based on Tukey's g-and-h distribution …-and-h distributed residuals to three European stock indices and provide results of out-of-sample Value-at-Risk backtests. We find that …