Choosing a proper external risk measure is of great regulatory importance, as exemplified in the Basel II and Basel III … Accord which use Value-at-Risk (VaR) with scenario analysis as the risk measures for setting capital requirements. We argue a … good external risk measure should be robust with respect to model misspecification and small changes in the data. A new …

The Euler (or gradient) allocation technique defines a financial institution's marginal cost of a risk exposure via … calculation of the gradient of a risk measure evaluated at the institution's current portfolio position. The technique, however …, relies on an arbitrary selection of a risk measure. We reverse the sequence of this approach by calculating the marginal …

Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult … by a heavy-tailed background risk. A particular attention is given to the distortion and weighted risk measures and … allocations, as well as their special cases such as the conditional layer expectation, tail value at risk, and the truncated tail …

The numerical calculations of marginal risk contributions associated with the two risk measures, Value-at-Risk and … computational efficiency and accuracy for computing marginal risk contributions of the popular Gaussian copula model and t … parameters in the t-copula model. Extensive numerical tests on computing risk contributions were performed on various copula …

The numerical calculations of marginal risk contributions associated with the two risk measures, Value-at-Risk and … computational efficiency and accuracy for computing marginal risk contributions of the popular Gaussian copula model and t … parameters in the t-copula model. Extensive numerical tests on computing risk contributions were performed on various copula …

intervals on the portfolio's profit and loss distribution over a risk-measurement horizon. We derive limiting results, as the …This paper analyzes portfolio risk and volatility in the presence of constraints on portfolio rebalancing frequency …. This investigation is motivated by the incremental risk charge (IRC) introduced by the Basel Committee on Banking …

Financial risk measurement relies on models of prices and other market variables, but models inevitably rely on … finds the worst-case error in risk measurement that would be incurred through a deviation from the baseline model, given a … in a model. We apply this approach to problems of portfolio risk measurement, credit risk, delta hedging, and …