This paper looks at nonconvex, noncash risk measures with p-norm (1 ≤ p ≤ ∞) for nonweak cone-type acceptable sets.
Three ways to improve the systemic risk analysis of the Central and Eastern European region using SRISK and CoVaR
This paper proposes three modifications to two well-established measures of systemic risk, SRISK and CoVaR.
The aim of this paper is to use a model-free, nonparametric approach based on the method of maximum entropy in the mean to solve the capital risk allocation problem.
This paper develops a method for estimating value-at-risk and conditional value-at-risk when the underlying risk factors follow a beta distribution in a univariate and a matrix-variate setting.
In this paper, the author revisits optimal reinsurance problems by minimizing the adjusted value of the liability of an insurer, which encompasses a risk margin. The risk margin is determined by expectile.
This paper points out the peculiarities of cyber insurance contracts compared with the classical nonlife insurance contracts from both the insurer’s and the insured’s perspectives. The main actuarial principles that are fundamental to any valuation in a…
With the 2022 Fundamental Review of the Trading Book (FRTB) deadline looming, banks are fast coming to grips with the amount of work still to be done to achieve a successful implementation
In this paper, the authors introduce a new ES backtesting framework based on the duality between coherent risk measures and scale-invariant performance measures.
In this paper, the authors establish generalized autoregressive conditional heteroscedasticity–dynamic conditional correlation (GARCH–DCC) and constant conditional correlation (CCC) copula model frameworks to study time-varying correlation among credit…
This paper studies the volatility of the Euler rule for capital allocation in static and dynamic empirical applications with a simulated history.
Alvin Stroyny and Tim Wilding build a dynamic risk framework for multi-asset global portfolios
Banque Pictet quant explains a new backtesting method for expected shortfall
In this paper, the authors review some of the existing methods used to quantify operational risks in the banking and insurance industries.
In this paper, the authors propose a modification of expected shortfall that does not treat all losses equally. We do this in order to represent the worries surrounding big drops that are typical of multiperiod investors.
In this paper, the author looks at the efficacy of risk measures on energy markets and across several different stock market indexes, and calculates both the value-at-risk (VaR) and the expected shortfall (ES) on each of these data sets as well as on…
Regulators should try to combat rogue trading by measuring traders’ risk-taking differently, say quants
This paper focuses on the parametric estimators of risk measures and uses Hampel’s infinitesimal approach to derive the robustness properties.
In this paper, the authors propose the SDR risk measure to consider the degree of dispersion of an extreme loss in addition to its expected value.
The authors of this paper simulate realistic total bank return distributions by means of a top-down copula approach for different parameter settings.
Few funds have tracking-error constraints, says risk institute
This paper looks for optimal explicit constructions and empirical tests in regards to pricing and hedging derivatives with coherent risk measures.
This paper derives explicit formulas for the optimal implementation shortfall trading curve with linear and nonlinear market impact.
This paper revisits the properties of risk measures and checks VaR, ES and expectiles with regard to whether or not they enjoy these properties.
This study examines the empirical relation between loan risk and the economic characteristics of collateral, each of which may be associated with the empirical dominance of different risk-collateral channels implied by economic theory.