Risk Measures

Anja Blatter, Sean Bradbury, Pascal Bruhn and Dietmar Ernst
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Anja Blatter: Nürtingen-Geislingen University of Applied Sciences
Sean Bradbury: Nürtingen-Geislingen University of Applied Sciences
Pascal Bruhn: Nürtingen-Geislingen University of Applied Sciences
Dietmar Ernst: Nürtingen-Geislingen University of Applied Sciences

Chapter Chapter 5 in Risk Management in Banks and Insurance Companies, 2024, pp 127-181 from Springer

Abstract: Abstract The central risk measure from a regulatory perspective is the Value at Risk, as it determines the risk capital, i.e. the amount of capital that an institution must reserve for rare adverse events. In the course of this unit, other risk measures will be discussed such as Conditional Value at Risk and Lower Partial Moments. In addition, these risk measures are applied in Extreme Value Theory. Furthermore, the bond- and credit-specific risk measure Duration is presented.

Date: 2024
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DOI: 10.1007/978-3-031-42836-4_5

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