to market extreme scenarios, incorporating the need of regulators and financial institutions in more sensitive risk … loss distribution. The findings show that our VaR estimations are able to capture the tail risk and react to market …

The combination of stochastic derivative pricing models and downside risk measures often leads to the paradox (risk … expected returns and very negative downside risk (henceforth "golden strategy") has only been studied if all the involved … multi-asset golden strategies for both the expected shortfall and the expectile risk measure, and shows that the use of …

required capital, insurance companies are motivated to establish hedging strategies to mitigate the inherent risk exposures … they face. Nonetheless, devising and implementing risk mitigation solutions to risk managing capital requirement is … into a simulation quandary concerning the management of solvency capital risk associated with mortality and longevity. More …

This paper investigates the risk exposure for options and proposes MaxVaR as an alternative risk measure which captures … the risk better than Value-at-Risk especially. While VaR is a measure of end-of-horizon risk, MaxVaR captures the interim … risk exposure of a position or a portfolio. MaxVaR is a more stringent risk measure as it assesses the risk during the risk …

Climate risk refers to the risks associated with climate change and has already started to impact various sectors of … the economy. In this work, we focus on the impact of physical risk on the probability of default for a firm in the … of default. We also propose a model to assess the exposure of the firm to transition risk. …

Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWAs …). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the Value-at-Risk …

New risk-based solvency requirements for insurance companies across European markets have been introduced by Solvency …, will be by far more risk-sensitive than the required solvency margin provided by the current legislation. In this regard, a … Partial Internal Model for Premium Risk is developed here for a multi-line Non-Life insurer. We follow a classical approach …

This article reviews two leading measures of financial risk and an emerging alternative. Embraced by the Basel accords …, value-at-risk and expected shortfall are the leading measures of financial risk. Expectiles offset the weaknesses of value-at-risk … (VaR) and expected shortfall. Indeed, expectiles are the only elicitable law-invariant coherent risk measures. After …