This paper is of methodological nature, and deals with the foundations of Risk Assessment.
Several international guidelines have recently recommended to select appropriate/relevant …

This paper is devoted to the introduction and study of a new family of multivariate elicitable
risk measures. We call the obtained vector-valued measures multivariate expectiles. We …

This paper introduces a multivariate tail covariance (MTCov) measure, which is a matrix-
valued risk measure designed to explore the tail dispersion of multivariate loss distributions …

We present the Shortfall Deviation Risk (SDR), a risk measure that represents the expected
loss that occurs with certain probability penalized by the dispersion of results that are worse …

We deal with a multivariate conditional value at risk. Compared with the usual notion for the
single random variable, a multivariate value at risk is concerned with several variables, and …

CoVaR is a systemic risk measure proposed by Adrian and Brunnermeier (2011) able to
measure a financial institution's contribution to systemic risk and its contribution to the risk of …

A generalization of expectiles for d-dimensional multivariate distribution functions is
introduced. The resulting geometric expectiles are unique solutions to a convex risk …

Exponential dispersion models are well used and studied in quantitative risk management
and actuarial science. One of the main interests is the risk measurement analysis of such …

In both financial theory and practice, Value-at-risk (VaR) has become the predominant risk
measure in the last two decades. Nevertheless, there is a lively and controverse on-going …

In this paper, we compute multivariate tail risk probabilities where the marginal risks are
heavy-tailed and the dependence structure is a Gaussian copula. The marginal heavy-tailed …