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Bank risk 1 Bankrisiko 1 Basel Accord 1 Basler Akkord 1 Credit risk 1 Kreditrisiko 1 Loss 1 Measurement 1 Messung 1 Portfolio selection 1 Portfolio-Management 1 Risiko 1 Risikomanagement 1 Risikomaß 1 Risikomodell 1 Risk 1 Risk management 1 Risk measure 1 Risk model 1 Statistical distribution 1 Statistische Verteilung 1 Verlust 1 backtestability 1 capital adequacy 1 catastrophic risk 1 loss distributions 1 portfolio management 1 risk measures 1 robustness 1 tail risk 1
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Bignozzi, Valeria 1 Burzoni, Matteo 1 Munari, Cosimo-Andrea 1
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Risk measures based on benchmark loss distributions
Bignozzi, Valeria; Burzoni, Matteo; Munari, Cosimo-Andrea - 2018
We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected Shortfall (ES), take into account both the frequency and the severity of losses. Under VaR a single confidence level is assigned regardless of the size of potential losses. We allow...
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