Loss-Based Risk Measures

Within siblings, high scores on the approach trait of sociability predicted an earlier adiposity rebound and high scores on the avoidance trait of shyness predicted a later

event 5 is not present in the model simulations, so no Keeling plot intercept could be derived. Event 4 is associ- ated with a sharp switch in wind direction: from north-

The total VaR measures the maximum expected loss that will be exceeded for a risk level of 1% at the time horizon of the next price change, whereas the marginal VaR is de…ned for

The quantile function at an arbitrarily high extreme level can then be consistently deduced from its value at a typically much smaller level provided γ can be consistently

keywords: Value-at-Risk; Conditional Value-at-Risk; Economic Capital; Credit Risk; Gauss hypergeometric function; Beta-Kotz distribution..

A preliminary analysis of the data recorded in the experiment stressed out the necessity to distinguish the different types of passages: normal driving without any

In analogy to the theory of Gibbs measures in Statistical Mechanics, we focus on the structure of global convex risk measures which are consistent with a given family of local

In the locally law-invariant case, we can now state the solution of the consistency problem for spatial risk measures, formulated in the introduction in analogy to Problem (I)