In this article, inspired by Shi et al., we investigate the optimal portfolio selection with one risk-free asset and … one risky asset in a multiple period setting under the cumulative prospect theory (CPT) risk criterion. Compared with …

The core of risk aggregation in the Solvency II Standard Formula is the so-called square root formula. We argue that it … should be seen as a means for the aggregation of different risks to an overall risk rather than being associated with … variance-covariance based risk analysis. Considering the Solvency II Standard Formula from the viewpoint of linear geometry, we …

Systemic risk is the risk that the distress of one or more institutions trigger a collapse of the entire financial … system. We extend CoVaR (value-at-risk conditioned on an institution) and CoCVaR (conditional value-at-risk conditioned on an … institution) systemic risk contribution measures and propose a new CoCDaR (conditional drawdown-at-risk conditioned on an …

Portfolio risk management plays an important role in successful investments. Portfolio standard deviation, value-at-risk …, expected shortfall, and maximum absolute deviation are widely used portfolio risk measures. However, the existing portfolio … risk measures are vulnerable to larger skewness and kurtosis of the asset returns. Moreover, the traditional assumption of …

. The tail risk interdependence measurement framework relies on the multivariate Student-t Markov switching (MS) model and …This paper investigates the dynamic evolution of tail risk interdependence among U.S. banks, financial services and … the multiple-conditional value-at-risk (CoVaR) (conditional expected shortfall (CoES)) risk measures introduced in …

can be used in risk measurement and forecasting. Value at risk (VaR) is a widely used measure of financial risk, which … assumptions alone in measuring risk. Cushioning against risk has always created a plethora of complexities and challenges; hence …, this paper attempts to analyse statistical properties of various risk measures in a not normal distribution and provide a …

entropy. To measure risk, we use value-at-risk and conditional value-at-risk. The results indicate that, except for Tether …, the analyzed cryptocurrencies’ returns exhibited similar patterns of uncertainty and risk. Levels of uncertainty were … close to the maximum values, but high uncertainty is not always associated with high risk. During the pandemic crisis …

distributed risk factors. Our results aim to correct inaccuracies that originate in Kamdem (2005) and are present also in at least … degrees of freedom. As such, the resulting economic impact in financial risk management applications could be significant. We …

profit, variance and expected shortfall of the insurer’s risk. The aggregate claim amounts are assumed to be distributed as … the expected shortfall of the insurer’s risk. In the decision making process, we concentrate on multi-attribute decision …