Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … cross-fertilize the academic and practitioner communities, promoting improved market risk measurement technologies that draw … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is …

We investigate how the spectral risk measure associated with holding stocks rather than a risk-free deposit, depends on … the holding period. Previous papers have shown that within a limited class of spectral risk measures, and when the stock … price follows specific processes, spectral risk becomes negative at long periods. We generalize this result for arbitrary …