We analyze hedging strategies that minimize tail risk measured by Value-at-Risk (VaR) or Conditional-Value-at-Risk …-switching models. Using cross-hedging examples, we theoretically and empirically demonstrate that tail-risk-minimal strategies can …-minimal strategies based on regime-switching models are able to attain additional tail risk reductions, which can be confirmed by …

Ackert and Deaves (2010) said that most people have tendency to being risk averse, but with appropriate amount of … compensation, people may take more risk. Understanding those circumstances, this research trying to figure risk involved in a Mean …-Variance Model. This model has taken consideration about investor risk preference in composed VAR model. VAR define as a measure of …

This paper proposes an intuitive and flexible framework to quantify liquidation risk for financial institutions. We … at risk and expected shortfall of a financial institution in the presence of fund liquidation. In particular, we find an … additive decomposition for liquidation-adjusted risk measures which are equal to "fundamental" risk-measures plus a liquidation …

The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR … banks could be tempted to use models that underpredict risk, and hence lead to low capital charges. In order to avoid this … excessive violations, thereby suggesting the current penalty structure is not severe enough to encourage adequate risk …

This article proposes a multi-currency cross-hedging strategy that minimizes the exchange risk. The use of derivatives … international activities. In particular, the reduction in the exchange risk borne through the use of natural multi-currency cross …-hedging is measured, considering Conditional Value-at-Risk (CVaR) and Value-at-Risk (VaR) for measuring market risk instead of …

Credit risk is the most important type of risk in terms of monetary value. Another key risk measure is market risk …. This paper is concerned with market risk management and monitoring under the Basel II Accord, and presents Ten Commandments … for optimizing Value-at-Risk (VaR) and daily capital charges, based on choosing wisely from: (1) conditional, stochastic …

Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, industrial and … investor is faced with a Markowitz type of risk reward problem at the final horizon, where variance as a measure of risk is …

We introduce a family of Capital allocation rules (C.A.R) based on the dual representation for risk measures and … inspired to the Aumann-Shapley allocation principle. These rules extend the one of Denault and Kalkbrener (for coherent risk … measures) and the one of Tsanakas (convex case), to the case of non Gateaux differentiable risk measures. We also study their …

capital increase is needed. We introduce the scalarized utility-based multi-asset (SUBMA) risk measure which optimizes the … risk measure is coherent if the utility function has constant relative risk aversion and the capital adequacy test leads to … a coherent acceptance set. In a one-period financial market model we present a sufficient condition for the SUBMA risk …

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 …