# Regulator-based risk statistics with scenario analysis

## TL;DR

This paper introduces a new class of regulator-based risk statistics incorporating scenario analysis, extending existing risk measures to better focus on potential losses relevant to regulators.

## Contribution

It proposes a novel risk statistic framework that integrates scenario analysis and extends prior loss-based risk measures, enhancing regulatory risk assessment methods.

## Key findings

- New class of risk statistics derived for regulatory purposes
- Extension of risk statistics with scenario analysis
- Connection to existing loss-based risk measures

## Abstract

As regulators pay more attentions to losses rather than gains, we are able to derive a new class of risk statistics, named regulator-based risk statistics with scenario analysis in this paper. This new class of risk statistics can be considered as a kind of risk extension of risk statistics introduced by Kou et al. \cite{11}, and also data-based versions of loss-based risk measures introduced by Cont et al. \cite{5} and Sun et al. \cite{12}.