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q-fin.MF2025
PELVE from a regulatory perspective
Christian Laudagé, Jörn Sass
Under Solvency II, the Value-at-Risk (VaR) is applied, although there is broad consensus that the Expected Shortfall (ES) constitutes a more appropriate risk measure. Moving toward…
q-fin.MF2024
Multi-asset return risk measures
Christian Laudagé, Felix-Benedikt Liebrich, Jörn Sass
We revisit the recently introduced concept of return risk measures (RRMs) and extend it by incorporating risk management via multiple so-called eligible assets. The resulting new c…
q-fin.MF2024
Risk measures based on target risk profiles
Jascha Alexander, Christian Laudagé, Jörn Sass
We address the problem that classical risk measures may not detect the tail risk adequately. This can occur for instance due to averaging when calculating the Expected Shortfall. T…