Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose flexible methods that exploit recent developments in financial econometrics and are likely to produce more accurate risk assessments, treating both portfoliolevel and asset-level analysis. Asset-level analysis is particularly challenging becau...

risk without thinking about technology risk. Workflow-based applications, system-driven notifications and databases with web front ends are proliferating, and they make operational processes indistinguishable from the systems on which they run. A failure in the process of creating a loss event can almost inevitably be tracked down to a technology control that was not designed well or that faile...

Risk adjusted performance measurement for a portfolio involves calculating the risk contribution of each single asset. We show that there is only one definition for the risk contributions which is suitable for performance measurement, namely as derivative of the underlying risk measure in direction of the considered asset weight. We also compute the derivatives for some popular risk measures in...