While risk management has been of fundamental interest to researchers and practitioners
alike during the last decade, its limitations in today's dynamically changing business …

This article reviews two leading measures of financial risk and an emerging alternative.
Embraced by the Basel accords, value-at-risk and expected shortfall are the leading …

Recent crises in the financial industry have shown weaknesses in the modeling of Risk-
Weighted Assets (RWAs). Relatively minor model changes may lead to substantial changes …

The robustness of risk measures to changes in underlying loss distributions (distributional
uncertainty) is of crucial importance in making well‐informed decisions. In this paper, we …

We study bounds on the Value‐at‐Risk (VaR) of a portfolio when besides the marginal
distributions of the components its variance is also known, a situation that is of considerable …

Chance-constrained programming (CCP) is one of the most difficult classes of optimization
problems that has attracted the attention of researchers since the 1950s. In this survey, we …

A central problem for regulators and risk managers concerns the risk assessment of an
aggregate portfolio defined as the sum of d individual dependent risks X i. This problem is …

Time-varying behavioral features and non-linear dependence are widely observed in big
data and challenge the operating systems and processes of risk management in financial …

We develop a one-dimensional notion of affine processes under parameter uncertainty,
which we call nonlinear affine processes. This is done as follows: given a set Θ of …

In this paper, we derive upper and lower bounds on the Range Value-at-Risk of the portfolio
loss when we only know its mean, variance, and feature of unimodality. In a first step, we use …