year, or one breach expected per thousand years. The capital needed to provide this protection is known as Value at Risk or …

related to less liquid financial assets from emerging markets. Since investment decisions are based on risk preferences and … investors are commonly risk averse, they tend to limit their risk exposure while defining their investment strategy. Various … risk measures can be used to estimate the level of risk. Value at Risk (VaR) is a widely accepted summary measure of market …

This paper examines the properties of the gold risk premium. We estimate a parsimonious model for the gold risk premium … and uncover important time variations in the dynamics of the risk premium. We also estimate risk premia of the stock and …

Monetary risk measures classify a financial position by the minimal amount of external capital that must be added to … the position to make it acceptable.We propose a new concept: intrinsic risk measures. The definition via external capital … is avoided and only internal resources appear. An intrinsic risk measure is defined by the smallest percentage of the …

We define and develop an approach for risk budgeting allocation -- a risk diversification portfolio strategy -- where … risk is measured using a dynamic time-consistent risk measure. For this, we introduce a notion of dynamic risk … contributions that generalise the classical Euler contributions and which allow us to obtain dynamic risk contributions in a …

In the aftermath of the Global Financial Crisis, some risk management practitioners have advocated wider adoption of … Bayesian inference to replace Value- at-Risk (VaR) models in order to minimize risk failures. Despite its limitations, the … [increasingly] Bayesian—continues to be a key methodological foundation of risk management and regulation-related risk modeling …

In aftermath of the Financial Crisis, some risk management practitioners advocate wider adoption of Bayesian inference … to replace Value-at-Risk (VaR) models for minimizing risk failures (Borison & Hamm, 2010). They claim reliance of …-Bayesian and [increasingly] Bayesian – continues to be a key methodological foundation of risk management and regulation related …

understanding diversification strategies. It introduces entropic value at risk (EVaR) as a coherent risk measure, which is an upper … bound to the conditional value at risk (CVaR), and explores its generalization, relativistic value at risk (RLVaR), rooted …, particularly in scenarios of heightened risk and increased concentration, crucial for mitigating negative net performances during …

We analyze spectral risk measures with respect to comparative risk aversion following Arrow (1965) and Pratt (1964) on … widely-applied spectral Arrow-Pratt-measure is not a consistent measure of Arrow-Pratt-risk aversion. A decision maker with a … decision maker with a smaller spectral Arrow-Pratt-measure. We further show how a proper measure of Arrow-Pratt-risk aversion …

portfolio, one for market risk and one for credit risk. Similar approaches are common in banks’ internal models for economic … capital. Although it is known that joint market and credit risk of certain investments can be larger than the sum of risks … holdings or CDS portfolios – are also affected. There are realistic conditions under which credit risk (represented by ratings …