Related papers: On Joint Marginal Expected Shortfall and Associate…
The two popular systemic risk measures CoVaR (Conditional Value-at-Risk) and CoES (Conditional Expected Shortfall) have recently been receiving growing attention on applications in economics and finance. In this paper, we study the…
This paper presents analytical solutions to the problem of how to calculate sensible VaR (Value-at-Risk) and ES (Expected Shortfall) contributions in the CreditRisk+ methodology. Via the ES contributions, ES itself can be exactly computed…
Following several episodes of financial market turmoil in recent decades, changes in systemic risk have drawn growing attention. Therefore, we propose surveillance schemes for systemic risk, which allow to detect misspecified systemic risk…
This paper compares two different frameworks recently introduced in the literature for measuring risk in a multi-period setting. The first corresponds to applying a single coherent risk measure to the cumulative future costs, while the…
In order to properly manage risk, practitioners must understand the aggregate risks they are exposed to. Additionally, to properly price policies and calculate bonuses the relative riskiness of individual business units must be well…
The purpose of the research presented in this article is to develop a dynamic system for forecasting and minimizing the risks of an industrial company based on their quantitative assessment. The article considers the conceptual apparatus of…
A load sharing system has several components and the failure of one component can affect the lifetime of the surviving components. Since component failure does not equate to system failure for different system designs, the analysis of the…
The risk of financial positions is measured by the minimum amount of capital to raise and invest in eligible portfolios of traded assets in order to meet a prescribed acceptability constraint. We investigate nondegeneracy, finiteness and…
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 propose a dynamical model for the estimation of Operational Risk in banking institutions. Operational Risk is the risk that a financial loss occurs as the result of failed processes. Examples of operational losses are the ones generated…
Predicting the bankruptcy risk of small and medium-sized enterprises (SMEs) is an important step for financial institutions when making decisions about loans. Existing studies in both finance and AI research fields, however, tend to only…
Despite decades of research in risk management, most of the literature has focused on scalar risk measures (like e.g. Value-at-Risk and Expected Shortfall). While such scalar measures provide compact and tractable summaries, they provide a…
In this paper we introduce a generalization of classical risk measures in which the risk is represented by a step function taking two values, corresponding to two endogenously determined market regimes. This extends the traditional…
A new realized conditional autoregressive Value-at-Risk (VaR) framework is proposed, through incorporating a measurement equation into the original quantile regression model. The framework is further extended by employing various Expected…
We provide a constructive way of defining new elicitable risk measures that are characterised by a multiplicative scoring function. We show that depending on the choice of the scoring function's components, the resulting risk measure…
We develop a novel multivariate semi-parametric framework for joint portfolio Value-at-Risk (VaR) and Expected Shortfall (ES) forecasting. Unlike existing univariate semi-parametric approaches, the proposed framework explicitly models the…
This work proposes an augmented variant of DebtRank with uncertainty intervals as a method to investigate and assess systemic risk in financial networks, in a context of incomplete data. The algorithm is tested against a default contagion…
This work is an answer to the EIOPA 2017 report. It follows from the latter that in order to assess the potential systemic risk we should take into account the build-up of risk and in particular the risk that arises in time, as well as the…
We present a general framework for measuring the liquidity risk. The theoretical framework defines a class of risk measures that incorporate the liquidity risk into the standard risk measures. We consider a one-period risk measurement…
Financial markets are exposed to systemic risk, the risk that a substantial fraction of the system ceases to function and collapses. Systemic risk can propagate through different mechanisms and channels of contagion. One important form of…