[Update: Within four weeks of the original publication of this research report, Risk Magazine reported in its 28th … February 2012 issue story titled 'Goodbye VaR? Basel to Consider Other Risk Metrics': "A review of trading book capital rules …, due to be launched in March by the Basel Committee on Banking Supervision, will consider ditching value-at-risk as the …

Considerable literature has been devoted to developing statistical inferential results for risk measures, especially … a number of risk measures that are of the form of ratios, or even more complex combinations, of two L-functionals. In … the present paper we call such combinations ‘coupled risk measures' and develop a statistical inferential theory for them …

interquantile expectation (IQE) of the random variable of interest, without specifying the conditional distribution of the … interval between two quantiles, or in an interval that covers the range of the distribution to the left or right of a quantile … and the asymptotic distribution of the estimator, and provide a consistent estimator of the asymptotic covariance matrix …

We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the … market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk … periods of market turbulence. This is puzzling since it is during such periods that downside risk should be most prominent. We …

Risk assessments often encounter extreme settings with very few or no occurrences in reality. Inferences about risk … levels of risk in the context of simultaneous monitoring of multiple risk indicators. The proposed threshold system is well … threshold system assigns different risk levels to observed airline performance measures. In particular, it divides the sample …

portfolio risk-management, it is found that this time-varying realized copula model exhibits very good forecasting properties … for the one-day ahead value at risk …

Many risk measures can be defined through the quantile function of the underlying loss variable (e.g., a class of … distortion risk measures). When the loss variable is discrete or mixed, however, the definition of risk measures has to be … broadened, which makes statistical inference trickier. To facilitate a straightforward transition from the risk measurement …

evaluation of the methodological and empirical advances in the measurement of the extreme market risk. This paper argues that a … sustain the rise of financial markets. Thereafter, this review identified the value at risk (VaR) and VaR-based alternative … expected shortfall (ES) as the principal measures of extreme market risk. The deficiencies in the standard modelling approaches …

Goal: ISO 31000 Risk Management (RM) recently re-defined risk as the effect of uncertainty on an organization's ability … to meet the objectives. Earlier, it defined risk as a combination of the probability and scope of the (predicted …) consequences. The revised ISO Risk advances beyond a static world guided by prediction and pre-determination based on historical …