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E-backtesting
In the recent Basel Accords, the Expected Shortfall (ES) replaces the Value-at-Risk (VaR) as the standard risk measure for market risk in the banking sector, making it the most important risk measure in financial regulation.
Cash-subadditive risk measures without quasi-convexity
In the literature of risk measures, cash subadditivity was proposed to replace cash additivity, motivated by the presence of stochastic or ambiguous interest rates and defaultable contingent claims.
Risk measures induced by efficient insurance contracts
To fill this gap, we study characterization of risk measures induced by efficient insurance contracts, i. e., those that are Pareto optimal for the insured and the insurer.
