Related papers: Extended Gini-type measures of risk and variabilit…
Systemic risk is the risk that a company- or industry-level risk could trigger a huge collapse of another or even the whole institution. Various systemic risk measures have been proposed in the literature to quantify the domino and…
This paper introduces the partial Gini covariance, a novel dependence measure that addresses the challenges of high-dimensional inference with heavy-tailed errors, often encountered in fields like finance, insurance, climate, and biology.…
We introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by simultaneously controlling the expected losses associated with different portions of the tail distribution. The corresponding…
We introduce new forecast encompassing tests for the risk measure Expected Shortfall (ES). The ES currently receives much attention through its introduction into the Basel III Accords, which stipulate its use as the primary market risk…
We propose a novel class of convex risk measures, based on the concept of the Fr\'echet mean, designed in order to handle uncertainty which arises from multiple information sources regarding the risk factors of interest. The proposed risk…
Measuring distances in a multidimensional setting is a challenging problem, which appears in many fields of science and engineering. In this paper, to measure the distance between two multivariate distributions, we introduce a new measure…
We introduce and study the cumulative information generating function, which provides a unifying mathematical tool suitable to deal with classical and fractional entropies based on the cumulative distribution function and on the survival…
Procyclicality of historical risk measure estimation means that one tends to over-estimate future risk when present realized volatility is high and vice versa under-estimate future risk when the realized volatility is low. Out of it…
Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR). At the same time, however, it has been criticised for issues relating to backtesting. In particular, ES has been found…
The categorical Gini correlation is an alternative measure of dependence between a categorical and numerical variables, which characterizes the independence of the variables. A nonparametric test for the equality of K distributions has been…
The inf-convolution of risk measures is directly related to risk sharing and general equilibrium, and it has attracted considerable attention in mathematical finance and insurance problems. However, the theory is restricted to finite sets…
We present the Shortfall Deviation Risk (SDR), a risk measure that represents the expected loss that occurs with certain probability penalized by the dispersion of results that are worse than such an expectation. SDR combines Expected…
Quantiles and expected shortfalls are commonly used risk measures in financial risk management. The two measurements are correlated while have distinguished features. In this project, our primary goal is to develop stable and practical…
The policy objective of safeguarding financial stability has stimulated a wave of research on systemic risk analytics, yet it still faces challenges in measurability. This paper models systemic risk by tapping into expert knowledge of…
Systemic risk measures have been shown to be predictive of financial crises and declines in real activity. Thus, forecasting them is of major importance in finance and economics. In this paper, we propose a new forecasting method for…
The estimation of risk measures recently gained a lot of attention, partly because of the backtesting issues of expected shortfall related to elicitability. In this work we shed a new and fundamental light on optimal estimation procedures…
This paper develops a theory and methodology for estimation of Gini index such that both cost of sampling and estimation error are minimum. Methods in which sample size is fixed in advance, cannot minimize estimation error and sampling cost…
It is well known that Expected Shortfall (also called Average Value-at-Risk) is a convex risk measure, i. e. Expected Shortfall of a convex linear combination of arbitrary risk positions is not greater than a convex linear combination with…
Risk measures satisfying the axiom of comonotonic additivity are extensively studied, arguably because of the plethora of results indicating interesting aspects of such risk measures. Recent research, however, has shown that this axiom is…
The risk of a financial position is usually summarized by a risk measure. As this risk measure has to be estimated from historical data, it is important to be able to verify and compare competing estimation procedures. In statistical…