the main challenges for regulators in terms of bank risk measurement. The study shows that substantial challenges for … discussion concerning proper risk measurement in regulatory frameworks, such as the Basel Accord or the European Banking …The latest financial crisis has exposed substantial weaknesses in the bank risk models used by national regulators as …

This article reviews two leading measures of financial risk and an emerging alternative. Embraced by the Basel accords …, value-at-risk and expected shortfall are the leading measures of financial risk. Expectiles offset the weaknesses of value-at-risk … (VaR) and expected shortfall. Indeed, expectiles are the only elicitable law-invariant coherent risk measures. After …

This study explored the effects of ambiguity on the calculation of Value-at-Risk (VaR) using a mathematical model based … on the theory of Choquet-Brownian processes. It was found that while a moderate degree of ambiguity aversion yields a …, some sufficient conditions are provided for the preservation of this effect under various forms of risk aggregation. This …