In this paper, we propose a novel framework for estimating systemic risk measures and risk allocations based on Markov Chain Monte Carlo (MCMC) methods. We consider a class of allocations whose jth component can be written as some risk measure of the jth conditional marginal loss distribution...

As an emerging field of applied research, quantitative risk management (QRM) poses a lot of challenges for probabilistic and statistical modeling. This review provides a discussion on selected past, current, and possible future areas of research at the intersection of statistics and QRM. Topics...