In Lecesne and Roncoroni (2013), we introduce the notion of monetary measure of risk borne by any financial claim. Our presentation moves from general definitions to concrete instances, including the benchmark measure Value-at-Risk (VaR). Part II develops a treatment of the class of coherent...

We propose a consistent and computationally efficient 2-step methodology for the estimation of multidimensional non-Gaussian asset models built using Lévy processes. The proposed framework allows for dependence between assets and different tail-behaviors and jump structures for each asset. Our...

This paper is an introduction to the measurement of market risk in financial markets, with examples drawn mainly from commodity markets. In particular, we present the concept of VaR, its limits, the problems related to its estimation and backtesting. This is done at single asset and at portfolio...