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“The use of flexible quantile-based measures in risk assessment”

Belles-Sampera, Jaume; Guillén, Montserrat; Santolino, … - Facultat d'Economia i Empresa, Universitat de Barcelona - 2013

the tail-subadditivity property. An example of risk measurement based on real insurance claim data is presented, where … implications of tail-subadditivity in the aggregation of risks are illustrated. …

Persistent link: https://www.econbiz.de/10010720430

GlueVaR measures in capital allocation applications

Belles-Sampera, Jaume; Guillén, Montserrat; Santolino, … - In: Insurance / Mathematics & economics 58 (2014), pp. 132-137

Persistent link: https://www.econbiz.de/10010437586

Dynamic semiparametric models for expected shortfall (and value-at-risk)

Patton, Andrew J.; Ziegel, Johanna F.; Chen, Rui - 2017

Expected Shortfall (ES) is the average return on a risky asset conditional on the return being below some quantile of its distribution, namely its Value-at-Risk (VaR). The Basel III Accord, which will be implemented in the years leading up to 2019, places new attention on ES, but unlike VaR,...

Persistent link: https://www.econbiz.de/10011688247

Tales from tails : on the empirical distributions of forecasting errors and their implication to risk

Spiliotis, Evangelos; Nikolopoulos, Konstantinos; … - In: International journal of forecasting 35 (2019) 2, pp. 687-698

Persistent link: https://www.econbiz.de/10012300716

Dynamic semiparametric models for expected shortfall (and Value-at-Risk)

Patton, Andrew J.; Ziegel, Johanna F.; Chen, Rui - In: Journal of econometrics 211 (2019) 2, pp. 388-413

Persistent link: https://www.econbiz.de/10012303806

Bigger is not always safer : a critical analysis of the subadditivity assumption for coherent risk measures

Rau-Bredow, Hans - In: Risks : open access journal 7 (2019) 3/91, pp. 1-18

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 … interbank loans, a bank merger could lead to additional contagion risks. We conclude that the subadditivity assumption should be …

Persistent link: https://www.econbiz.de/10012126479

Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures

Cai, Jun; Wang, Ying; Mao, Tiantian - In: Insurance / Mathematics & economics 75 (2017), pp. 105-116

Persistent link: https://www.econbiz.de/10011740761

Expected Shortfall, spectral risk measures, and the aggravating effect of background risk, or: risk vulnerability and the problem of subadditivity

Brandtner, Mario - In: Journal of banking & finance 89 (2018), pp. 138-149

Persistent link: https://www.econbiz.de/10011963089

Recent Developments in Financial Economics and Econometrics: An Overview

Chang, Chia-Lin; McAleer, Michael; Allen, Allen, D.E. - Faculteit der Economische Wetenschappen, Erasmus … - 2013

regime-switching approaches, quantitative evaluation of contingent capital and its applications, high quantiles estimation …

Persistent link: https://www.econbiz.de/10010732636

Recent Developments in Financial Economics and Econometrics:An Overview

Chang, Chia-Lin; Allen, David E; McAleer, Michael - Institute of Economic Research, Kyoto University - 2013

regime-switching approaches, quantitative evaluation of contingent capital and its applications, high quantiles estimation …

Persistent link: https://www.econbiz.de/10010860064

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