[Update: Within four weeks of the original publication of this research report, Risk Magazine reported in its 28th … February 2012 issue story titled 'Goodbye VaR? Basel to Consider Other Risk Metrics': "A review of trading book capital rules …, due to be launched in March by the Basel Committee on Banking Supervision, will consider ditching value-at-risk as the …

Model risk has a huge impact on any risk measurement procedure and its quantification is therefore a crucial step. In … this paper, we introduce three quantitative measures of model risk when choosing a particular reference model within a … given class: the absolute measure of model risk, the relative measure of model risk and the local measure of model risk …

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … cross-fertilize the academic and practitioner communities, promoting improved market risk measurement technologies that draw … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is …

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … cross-fertilize the academic and practitioner communities, promoting improved market risk measurement technologies that draw … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is …

We provide an extreme value analysis of the returns of Bitcoin. A particular focus is on the tail risk characteristics … the risk characteristics is of utmost importance. So for bitcoin to become a mainstream investable asset class, studying … risk management, financial engineering (such as bitcoin derivatives) - both from an investor's as well as from a regulator …

academic research articles one should know in risk measurement and management. Through his central position in financial …, Correlation and Tails for Systemic Risk Measurement," Manuscript, NYU. -- Campbell, J.Y. and G.B. Tacksler (2003), "Equity …-49. -- Duffie, D. and K.J. Singleton (2003), Credit Risk: Pricing, Measurement, and Management, Princeton University Press …