Since the investors and regulators pay more attention to losses rather than gains, we will study a new class of risk statistics, named loss-based risk statistics in this paper. This new class of risk statistics can be considered as a kind of risk extension of risk statistics introduced by Kou , Peng and Heyde (2013), and also data-based versions of loss-based risk measures introduced by Cont et al. (2013) and Sun et al. (2018)\hspace{0pt}%DIFAUXCMD } .
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. \mbox{%DIFAUXCMD 11 also data-based versions of loss-based risk measures introduced by Cont et al. \mbox{%DIFAUXCMD 5 and Sun et al. \mbox{%DIFAUXCMD 12\hspace{0pt}%DIFAUXCMD } .
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loss-based risk statistics
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(2013)
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(2018)
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