Related papers: Value-at-Risk- and Expectile-based Systemic Risk M…
Expectile, as the minimizer of an asymmetric quadratic loss function, is a coherent risk measure and is helpful to use more information about the distribution of the considered risk. In this paper, we propose a new risk measure by replacing…
CoVaR (conditional value-at-risk) is a crucial measure for assessing financial systemic risk, which is defined as a conditional quantile of a random variable, conditioned on other random variables reaching specific quantiles. It enables the…
The debate of what quantitative risk measure to choose in practice has mainly focused on the dichotomy between Value at Risk (VaR) -- a quantile -- and Expected Shortfall (ES) -- a tail expectation. Range Value at Risk (RVaR) is a natural…
Distortion risk measures are extensively used in finance and insurance applications because of their appealing properties. We present three methods to construct new class of distortion functions and measures. The approach involves the…
We axiomatically introduce risk-consistent conditional systemic risk measures defined on multidimensional risks. This class consists of those conditional systemic risk measures which can be decomposed into a state-wise conditional…
Systemic risk measures were introduced to capture the global risk and the corresponding contagion effects that is generated by an interconnected system of financial institutions. To this purpose, two approaches were suggested. In the first…
This paper concerns sequential computation of risk measures for financial data and asks how, given a risk measurement procedure, we can tell whether the answers it produces are `correct'. We draw the distinction between `external' and…
In this paper, we consider a multi-objective control problem for stochastic systems that seeks to minimize a cost of interest while ensuring safety. We introduce a novel measure of safety risk using the conditional value-at-risk and a set…
In financial risk management, Value at Risk (VaR) is widely used to estimate potential portfolio losses. VaR's limitation is its inability to account for the magnitude of losses beyond a certain threshold. Expected Shortfall (ES) addresses…
The need for a systematic approach to risk assessment has increased in recent years due to the ubiquity of autonomous systems that alter our day-to-day experiences and their need for safety, e.g., for self-driving vehicles, mobile service…
Accurate forecasting of risk is the key to successful risk management techniques. Using the largest stock index futures from twelve European bourses, this paper presents VaR measures based on their unconditional and conditional…
The multivariate conditional probability distribution models the effects of a set of variables onto the statistical properties of another set of variables. In the study of systemic risk in a financial system, the multivariate conditional…
We introduce and study a variational framework for the analysis of empirical risk based inference for dynamical systems and ergodic processes. The analysis applies to a two-stage estimation procedure in which (i) the trajectory of an…
This paper considers Importance Sampling (IS) for the estimation of tail risks of a loss defined in terms of a sophisticated object such as a machine learning feature map or a mixed integer linear optimisation formulation. Assuming only…
Recent financial disasters emphasised the need to investigate the consequence associated with the tail co-movements among institutions; episodes of contagion are frequently observed and increase the probability of large losses affecting…
In this paper, we propose the multivariate range Value-at-Risk (MRVaR) and the multivariate range covariance (MRCov) as two risk measures and explore their desirable properties in risk management. In particular, we explain that such…
Value-at-risk (VaR) and expected shortfall (ES) are two commonly utilized metrics for quantifying financial risk. In this study, we review the widely employed Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models. These…
We investigate to which extent the relevant features of (static) Systemic Risk Measures can be extended to a conditional setting. After providing a general dual representation result, we analyze in greater detail Conditional Shortfall…
Tail Value-at-Risk (TVaR) is a widely adopted risk measure playing a critically important role in both academic research and industry practice in insurance. In data applications, TVaR is often estimated using the empirical method, owing to…
We study a general risk measure called the generalized shortfall risk measure, which was first introduced in Mao and Cai (2018). It is proposed under the rank-dependent expected utility framework, or equivalently induced from the cumulative…