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 … Shortfall (ES), take into account both the frequency and the severity of losses. Under VaR a single confidence level is assigned …

the main challenges for regulators in terms of bank risk measurement. The study shows that substantial challenges for … regulators include compensating for the drawbacks of the Value at Risk (VaR) and expected shortfall risk models, resolving the … discussion concerning proper risk measurement in regulatory frameworks, such as the Basel Accord or the European Banking …

This paper provides a critical analysis of the subadditivity axiom, which is the key condition for coherent risk … measures. Contrary to the subadditivity assumption, bank mergers can create extra risk. We begin with an analysis how a merger … rejected, since a subadditive risk measure, by definition, cannot account for such increased risks. …

and default) and spread risk (represented by rating specific spread indices) combine to a total value-at-risk (VaR) 50 … 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 …