  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}.
