Simulation of the annual loss distribution in operational risk via Panjer recursions and Volterra integral equations for value-at-risk and expected shortfall estimation

2007 ◽  
Vol 2 (3) ◽  
pp. 29-58 ◽  
Author(s):  
Gareth Peters ◽  
Adam Johansen ◽  
Arnaud Doucet
Keyword(s):  
At Risk ◽  
Integral Equations ◽  
Value At Risk ◽  
Operational Risk ◽  
Expected Shortfall ◽  
Volterra Integral Equations ◽  
Loss Distribution ◽  
Annual Loss

scholarly journals Computing value-at-risk and expected shortfall in operational risk

2021 ◽  
Author(s):  
Desire Issiaka Bakassa-Traore
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Measures ◽  
Operational Risk ◽  
Expected Shortfall ◽  
Conditional Value At Risk ◽  
Basel Committee ◽  
Loss Distribution Approach ◽  
Capital Charge ◽  
Heavy Tailed

Operational Risk has become more popular in the past fifteen years. The Basel committee realized its importance and banks have to allocate more capital charge, yet this is still not enough. With these new rules, banks have put in place new procedures to compute their risk measures and allocate enough capital charge to avoid bankruptcy. The Basel committee under Basel II has proposed different approaches to compute risk measures for Operational Risk, namely the Basic Indicator Approach, the Advanced Measurement Approach and the Standardized Approach. In our research, we will study the case of Loss Distribution Approach, which has been discussed before, and will contribute to the field by using a heavy-tailed distributed severity: g-and-h distributed. Then, we will analyze and test some methods to compute the value-at-risk( VaR) and conditional value-at-risk or expected shortfall (CVaR).

scholarly journals Computing value-at-risk and expected shortfall in operational risk

2021 ◽  
Author(s):  
Desire Issiaka Bakassa-Traore
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Measures ◽  
Operational Risk ◽  
Expected Shortfall ◽  
Conditional Value At Risk ◽  
Basel Committee ◽  
Loss Distribution Approach ◽  
Capital Charge ◽  
Heavy Tailed

Operational Risk has become more popular in the past fifteen years. The Basel committee realized its importance and banks have to allocate more capital charge, yet this is still not enough. With these new rules, banks have put in place new procedures to compute their risk measures and allocate enough capital charge to avoid bankruptcy. The Basel committee under Basel II has proposed different approaches to compute risk measures for Operational Risk, namely the Basic Indicator Approach, the Advanced Measurement Approach and the Standardized Approach. In our research, we will study the case of Loss Distribution Approach, which has been discussed before, and will contribute to the field by using a heavy-tailed distributed severity: g-and-h distributed. Then, we will analyze and test some methods to compute the value-at-risk( VaR) and conditional value-at-risk or expected shortfall (CVaR).

scholarly journals Optimisation of Time-Varying Asset Pricing Models with Penetration of Value at Risk and Expected Shortfall

Mathematics ◽  
2021 ◽  
Vol 9 (4) ◽  
pp. 394
Author(s):  
Adeel Nasir ◽  
Kanwal Iqbal Khan ◽  
Mário Nuno Mata ◽  
Pedro Neves Mata ◽  
Jéssica Nunes Martins
Keyword(s):  
At Risk ◽  
Asset Pricing ◽  
Stock Returns ◽  
Value At Risk ◽  
Expected Shortfall ◽  
Time Varying ◽  
Pricing Models ◽  
Asset Pricing Model ◽  
Asset Pricing Models ◽  
Market Beta

This study aims to apply value at risk (VaR) and expected shortfall (ES) as time-varying systematic and idiosyncratic risk factors to address the downside risk anomaly of various asset pricing models currently existing in the Pakistan stock exchange. The study analyses the significance of high minus low VaR and ES portfolios as a systematic risk factor in one factor, three-factor, and five-factor asset pricing model. Furthermore, the study introduced the six-factor model, deploying VaR and ES as the idiosyncratic risk factor. The theoretical and empirical alteration of traditional asset pricing models is the study’s contributions. This study reported a strong positive relationship of traditional market beta, value at risk, and expected shortfall. Market beta pertains its superiority in estimating the time-varying stock returns. Furthermore, value at risk and expected shortfall strengthen the effects of traditional beta impact on stock returns, signifying the proposed six-factor asset pricing model. Investment and profitability factors are redundant in conventional asset pricing models.

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