We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest …-additive risk measures, for which the eligible asset is a risk-free bond, on the grounds that the general case can be reduced to the … provide a variety of finiteness and continuity results for the corresponding risk measures and apply them to risk measures …

In this paper, we put forth the notion of “Crisis Utility” as a way of estimating the tail risk of an asset or … risk since it incorporates the concept of “resiliency,” or recovery rate, as well as the traditional concept of maximum … investors adjust their allocation models to account for tail risk, all else being equal and free of constraint. We also analyze …

This paper analyzes portfolio risk and volatility in the presence of constraints on portfolio rebalancing frequency …. This investigation is motivated by the incremental risk charge (IRC) introduced by the Basel Committee on Banking … Supervision. In contrast to the standard market risk measure based on a ten-day value-at-risk calculated at 99% confidence, the …

/09 another way to deal with diversification came up, that is equally-weighted risk contribution portfolio. This kind of procedure … leads not to equalize the portfolio weights but the risk weights. The only thing to understand is how we can measure risk …. While many authors focus on volatility, in this paper we shall present an alternative and coherent risk measure, that is …

Existence of underestimation bias on risk for optimized portfolio is well known to quantitative fund managers who … construct their portfolio from optimizer (mathematical software) by using multi factor risk model. There are some reasons for … underestimation of portfolio risk. One of the reasons of underestimation lays in sampling bias of covariance matrix of factor returns …

The paper introduces a new, moment-based representation of version independent, coherent risk functionals for … method can be applied to coherent and non-coherent risk functionals and is interpreted in terms of a weighted average of … particular Bayesian versions of Conditional Value-at-Risk. We formulate a conservative risk functional and a minimax portfolio …

We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the … market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk … periods of market turbulence. This is puzzling since it is during such periods that downside risk should be most prominent. We …

Many methods exist for assessing and managing the risk of a portfolio. This article is about risk metrics and the ways … investment consultants commonly apply these measurements to portfolio selection and evaluation. Two popular approaches to risk … each are presented. We conclude that the time-state paradigm is the more robust and meaningful risk metric for investment …

Managed volatility strategies adjust market exposure in inverse relation to a risk estimate, to stabilize realized … long-term data from the Standard & Poor's 500, we show that these strategies offer an improvement in risk-adjusted return … compared with a buy-and-hold benchmark, on average, but with some variation. Managed volatility strategies achieve robust tail-risk …

The paper proposes a new approach to model risk measurement based on the Wasserstein distance between two probability … measures. It formulates the theoretical motivation resulting from the interpretation of fictitious adversary of robust risk … nominal model. The Wasserstein approach suits for all types of model risk problems, ranging from the single-asset hedging risk …