We consider a nonparametric method to estimate conditional expected shortfalls, i.e. conditional expected losses knowing that losses are larger than a given loss quantile. We derive the asymptotic properties of kernal estimators of conditional expected shortfalls in the context of a stationary...

Recognizing that many banks suffered trading losses that notably exceeded their minimum capital requirements during the recent crisis, the Basel Committee on Banking Supervision (2011) revised its regulatory framework for trading portfolios. In this paper, we compare: (1) the relative...

The financial crisis of 2007 has triggered various debates, ranging from the stability of the banking system to subtle technical issues regarding the Gaussian and other copulas. All these debates are important, and it might be good to start even a further one: Credit derivatives have much in...

For years, the insurance industry was essentially about mathematical quantification and financial transformation of physical risks. But our world has become more interconnected with the advent of the internet, blockchain etc.: as a consequence, cyber risk is expanding rapidly. Here, Prof. W....

This article outlines a framework for the analysis of extreme events based on forward-looking reverse stress testing. We carry out a portfolio simulation and identify stress scenarios which are critical for bank solvency as the ones contributing the most to cost of capital, as expressed by KVA...

In this paper, we mainly focus on two institutional aspects that are related to financial risk, that is, profiteering and the use of non-fraudulent coins when performing financial transactions. We argue that these two prerequisites were important for the success of the commercially oriented...

This paper identifies the science of governance as a crucial blind spot for risk managers, company directors, regulators and law makers. There is little evidence that law-makers, corporate governance reformers or risk managers apply the science of governance identified 60 years ago. As a result,...

This paper explores two configurations of thinking about crime amongst law enforcement agencies and private sector security managers: ‘risk calculation' (concerned with everyday, calculable probabilities and impacts and their management) and ‘precautionary uncertainty' (concerned with events...

We consider distributional free inference to test for positive quadrant dependence, i.e.for the probability that two variables are simultaneously small (or large) being at least as great as it would be were they dependent. Tests for its generalisation in higher dimensions, namely positive...