Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR). At the same time, however, it has been criticized for issues relating to backtesting. In particular, ES has been found not to be elicitable which means that backtesting for ES...

This paper deals with the problem of estimating the level sets of an unknown distribution function $F$. A plug-in approach is followed. That is, given a consistent estimator $F_n$ of $F$, we estimate the level sets of $F$ by the level sets of $F_n$. In our setting no compactness property is a...

This paper deals with the problem of estimating the level sets of an unknown distribution function $F$. A plug-in approach is followed. That is, given a consistent estimator $F_n$ of $F$, we estimate the level sets of $F$ by the level sets of $F_n$. In our setting no compactness property is a...

This paper is concerned with the compound Poisson risk model and two generalized models with still Poisson claim arrivals. One extension incorporates inhomogeneity in the premium input and in the claim arrival process, while the other takes into account possible dependence between the successive...

In a multi-dimensional risk model with dependent lines of business, we propose to allocate capital with respect to the minimization of some risk indicators. These indicators are sums of expected penalties due to the insolvency of a branch while the global reserve is either positive or negative....

In a multi-dimensional risk model with dependent lines of business, we propose to allocate capital with respect to the minimization of some risk indicators. These indicators are sums of expected penalties due to the insolvency of a branch while the global reserve is either positive or negative....

This paper proposes a new approach to date extreme financial cycles. Elaborating on recent methods in extreme value theory, it elaborates an extension of the famous calculus rule to detect extreme peaks and troughs. Applied on United-States stock market since 1871, it leads to a dating of these...

The study of tail events has become a central preoccupation for academics, investors and policy makers, given the recent financial turmoil. However, what differentiates a crash from a tail event? This article answers this question by taking a risk management perspective that is based on an...

According to the last proposals of the Basel Committee on Banking Supervision, banks under the Advanced Measurement Approach (AMA) must use four different sources of information to assess their Operational Risk capital requirement. The fourth including "business environment and internal control...

Extreme value theory has been widely applied in insurance and finance to model rare events. Plenty of such events have occurred in financial markets during the last two decades, including stock market crashes, currency crises, or large bankruptcies. This article applies extreme value theory...