innovation lies in the integration of classical credibility theory with expected risk models, enhancing their stability and …Accurate risk assessment is crucial for predicting potential financial losses. This paper introduces an innovative … approach by employing expected risk models that utilize risk samples to capture comprehensive risk characteristics. The …

When the uni-variate risk measure analysis is generalized into the multi-variate setting, many complex theoretical and … applied problems arise, and therefore the mathematical models used for risk quantification usually present model risk. As a … task, we propose a novel multi-variate risk measure, based on the notion of the Wasserstein barycenter. The proposed …

This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR … the vine copula and APARCH-DCC in assessing portfolio systemic risk. This advanced approach provides nuanced insights into … strengthening risk management practices. Future research could explore the sensitivity of the CoVaR to diferent weighting schemes …

We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given … value-at-risk and expected shortfall, but the approach also works for other risk measures. …

The Value-at-Risk (VaR) metric serves as a pivotal tool for quantifying market risk, offering an estimation of … Historical Simulation VaR and Delta Normal VaR. The backtesting methodologies encompass Kupiec's POF test, the Independence Test … implications for managerial decision-making in financial risk management. …

In this paper, we deal with an axiomatic approach to default risk. We introduce the notion of a default risk measure …, which generalizes the classical probability of default (PD), and allows to incorporate model risk in various forms. We … discuss different properties and representations of default risk measures via monetary risk measures, families of related tail …

evaluation of the methodological and empirical advances in the measurement of the extreme market risk. This paper argues that a … sustain the rise of financial markets. Thereafter, this review identified the value at risk (VaR) and VaR-based alternative … expected shortfall (ES) as the principal measures of extreme market risk. The deficiencies in the standard modelling approaches …

Under the revised market risk framework of the Basel Committee on Banking Supervision, the model validation regime for … internal models now requires that models capture the tail risk in profit-and-loss (P&L) distributions at the trading desk level …-desk value-at-risk (VaR) backtest as a special case. The spectral tests make use of realised probability integral transform …

risk measure and loss functions. The results indicate that the method based on the conditional Extreme Value Theory (EVT … must calculate the market risk capital requirements based on the Expected Shortfall (ES) measure, replacing the Value at … Risk (VaR) measure. In the financial literature, there are many papers dedicated to compare VaR approaches but there are …

of financial assets proves their effectiveness in modeling multivariate financial series and assessing risk measures …, such as the value at risk and the expected shortfall. …