Despite the use of VaR as a means to control risk, using VaR can have the opposite effect. VaR is used by bank and … insurance regulators more than any other risk measure. A value-at-risk (VaR) constraint on the probability that future firm … systemic risk, the large banks, to use VaR constraints thereby encouraging the banks to which the global financial system is …

. In this paper, various risk models are used to forecast the Value-at-Risk (VaR) in holding the currency. Being a quantile … measure, VaR disregards valuable information conveyed by the sizes of tail losses. As a result, there is tail risk in the use … of VaR in practice. Saddlepoint technique is used to backtest tail risk of VaR by summing all the tail losses …

This article analyzes the tail behavior of energy price risk using a multivariate approach, in which the exposure to … estimate the models and evaluate tail risk measures for the portfolio's profit-and-loss distribution for long and short … portfolios show the importance of heavy tails and positive asymmetry in the distribution of energy risk factors. Thus, tail risk …

One of the fundamental requirements of investment management is the ability to assess risk and to adjust exposure to … control tail risk, the risk of larger than acceptable losses. Since the onset of the recent credit crisis, the effects of … widespread failure of standard techniques for tail risk management have been an almost daily feature in the financial news …

We test for the presence of a systematic tail risk premium in the cross-section of expected returns by applying a …

We develop a utility and asset pricing theory that features a novel measure of tail risk. Our model determines investor … demand for both left and right-tail risk premia from an indifference curve incorporating tolerance for variance and tail risk …. We show that the systematic tail risk factors determined by market co-tail-variabilities on individual assets are …

In this paper we propose a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the … parameters over the 100 largest US publicly traded financial institutions. We demonstrate the suitability of this risk measure by … comparing the proposed FRM to other measures for systemic risk, such as VIX, SRISK and Google Trends. We find that mutual …

We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected … probability of occurrence. The corresponding risk measure, called Loss VaR (LVaR), determines the minimal capital injection that … and applications to capital adequacy, portfolio risk management and catastrophic risk are presented …

systematic risk is highly nonlinear in extreme scenarios-especially during the subprime crisis. We find that countercyclical …-traditional risk premia by deliberately increasing their systematic risk while the later focus more on minimizing risk. Our results … suggest that the hedge fund strategies' betas respond more to illiquidity uncertainty than to illiquidity risk during crises …