Asymptotics for the conditional higher moment coherent risk measure with weak contagion

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      <subfield code="a">Asymptotics for the conditional higher moment coherent risk measure with weak contagion</subfield>
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      <subfield code="a">In the bank regulatory frameworks of Basel II and Basel III, as well as in the insurance regulatory regimes such as Solvency II and Swiss Solvency Test, capital requirements for all financial institutions and (re)insurance companies operating within the European Union and Switzerland are solely based on the Value at Risk (VaR) and the Expected Shortfall (ES). For these reasons and not only, risk measures are widely applied by financial and insurance institutions for pricing and decision-making. Generally, a risk measure is a mapping from some space of random risks to a set of real numbers, which quantifies risk exposure. However, in the broader literature of risk management, there is no answer to the question of which risk measure is the best. An axiomatic definition of coherent risk measures is introduced by Artzner (1999) to prescribe a set of reasonable risk measures, satisfying the properties of monotonicity, positive homogeneity, sub-additivity, and translation invariance. Various measures have been introduced in the existing literature to evaluate extreme risk exposure under the effect of an observable factor. Due to the nice properties of the higher-moment (HM) coherent risk measure, they propose a conditional version of the HM (CoHM) risk measure by incorporating the information of an observable factor</subfield>
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