相关论文: Expected Shortfall and Beyond

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…

Law-invariant functionals are central to risk management and assign identical values to random prospects sharing the same distribution under an atomless reference probability measure. This measure is typically assumed fixed. Here, we adopt…

The concept of univariate Range Value-at-Risk, presented by Cont et al. (2010), is extended in the multidimensional setting. Traditional risk measures are not well suited when dealing with heavy-tail distributions and infinite tail…

This paper presents a novel approach to stochastic economic model predictive control (SEMPC) that minimizes average economic cost while satisfying an empirical expected shortfall (EES) constraint to manage risk. A new scenario-based problem…

Monetary risk measures are usually interpreted as the smallest amount of external capital that must be added to a financial position to make it acceptable. We propose a new concept: intrinsic risk measures and argue that this approach…

A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, nonfinancial and insurance positions. The debated cash additive axiom is relaxed into the cash sub additive axiom to…

Tail risk measures are fully determined by the distribution of the underlying loss beyond its quantile at a certain level, with Value-at-Risk, Expected Shortfall and Range Value-at-Risk being prime examples. They are induced by law-based…

We develop a general theory of risk measures that determines the optimal amount of capital to raise and invest in a portfolio of reference traded securities in order to meet a pre-specified regulatory requirement. The distinguishing feature…

We investigate the probability equivalent level of Value at Risk and $n^{\mathrm{th}}$-order Expected Shortfall (called PELVE_n), which can be considered as a variant of the notion of the probability equivalent level of Value at Risk and…

Capital allocation principles are used in various contexts in which a risk capital or a cost of an aggregate position has to be allocated among its constituent parts. We study capital allocation principles in a performance measurement…

Motivated by the Basel 3 regulations, recent studies have considered joint forecasts of Value-at-Risk and Expected Shortfall. A large family of scoring functions can be used to evaluate forecast performance in this context. However, little…

Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow calculation of portfolio-level systematic risk measures…

Recently, the concept of tail dependence has been discussed in financial applications related to market or credit risk. The multivariate extreme value theory is a proper tool to measure and model dependence, for example, of large loss…

This paper firstly addresses the problem of risk assessment under false data injection attacks on uncertain control systems. We consider an adversary with complete system knowledge, injecting stealthy false data into an uncertain control…

We consider the problem of governing systemic risk in a banking system model. The banking system model consists in an initial value problem for a system of stochastic differential equations whose dependent variables are the log-monetary…

Risk measures are important key figures to measure the adequacy of the reserves of a company. The most common risk measures in practice are Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR). Recently, quantum-based algorithms are…

For the past two decades investors have observed long memory and highly correlated behavior of asset classes that does not fit into the framework of Modern Portfolio Theory. Custom correlation and standard deviation estimators consider…

Several well-established benchmark predictors exist for Value-at-Risk (VaR), a major instrument for financial risk management. Hybrid methods combining AR-GARCH filtering with skewed-$t$ residuals and the extreme value theory-based approach…

For a risk vector $V$, whose components are shared among agents by some random mechanism, we obtain asymptotic lower and upper bounds for the individual agents' exposure risk and the aggregated risk in the market. Risk is measured by…

A new semi-parametric Expected Shortfall (ES) estimation and forecasting framework is proposed. The proposed approach is based on a two-step estimation procedure. The first step involves the estimation of Value-at-Risk (VaR) at different…