(VaR) and expected shortfall. Indeed, expectiles are the only elicitable law-invariant coherent risk measures. After …, expectiles can be defined exclusively in terms of VaR, expected shortfall, and the thresholds at which those competing risk … address some of the flaws in VaR and expected shortfall-subject to the reservation that no risk measure can achieve exactitude …

Accord which use Value-at-Risk (VaR) with scenario analysis as the risk measures for setting capital requirements. We argue a …Choosing a proper external risk measure is of great regulatory importance, as exemplified in the Basel II and Basel III … good external risk measure should be robust with respect to model misspecification and small changes in the data. A new …

the Fundamental Review of the Trading Book. Under the new standards, default risk needs to be measured and capitalized … through a dedicated Default Risk Charge (DRC). While quantitative impact studies are ongoing and banks are preparing for these …-year capital horizon at a 99.9% confidence level. The article discusses selected risk factor models to derive simulation-based loss …