admit explicit quantile specifications which make them directly relevant for quantile based risk measure calculations. We …

Using a limiting approach to portfolio credit risk, we obtain analyticexpressions for the tail behavior of the … aretriggered by a general latent factor model involving systematic andidiosyncratic risk. We show explicitly how the tail behavior … of the distributionof these two risk factors relates to the tail behavior of the credit lossdistribution. Even if the …

advanced measurement approach (AMA) must use four different sources of information to assess their operational risk capital … the severity distribution that are selected to represent the operational risk event types. …

the Value at Risk (VaR) and the Expected Short-Fall (ES) at 95% and 99%. One of the results on calculating the maximum …