Different approaches to defining dynamic market risk measures are available in the literature. Most are focused or derived from probability theory, economic behavior or dynamic programming. Here, we propose an approach to define and implement dynamic market risk measures based on recursion and state economy representation. The proposed approach is to be implementable and to inherit properties from static market risk measures
An important tool in risk management is the implementation of risk measures. We study dynamic models...
We derive a representation for dynamic capital allocation when the underlying asset price process in...
The paper compares a number of available measures of financial risk and presents arguments in favor ...
Different approaches to defining dynamic market risk measures are available in the literature. Most ...
In discrete time, every time-consistent dynamic monetary risk measure can be written as a compositio...
In discrete time, every time-consistent dynamic monetary risk measure can be written as a compositio...
In discrete time, every time-consistent dynamic monetary risk measure can be written as a compositio...
This thesis aims to fill this gap between static and dynamic risk measures. It presents a theory of d...
The paper deals with the concept of coherent risk measure, in the sense of Artzner, Delbaen, Eber an...
AbstractMonetary measures of risk like Value at Risk or Worst Conditional Expectation assess the ris...
We study dynamic monetary risk measures that depend on bounded discrete-time processes describing th...
The article aims to survey recent advancements in risk management field. First a popular quantile-ba...
Monetary measures of risk like Value at Risk or Worst Conditional Expectation assess the risk of fin...
The paper provides an axiomatic characterization of dynamic risk measures for multi-period financial...
This thesis deals with risk measures based on utility functions and time consistency of dynamic risk...
An important tool in risk management is the implementation of risk measures. We study dynamic models...
We derive a representation for dynamic capital allocation when the underlying asset price process in...
The paper compares a number of available measures of financial risk and presents arguments in favor ...
Different approaches to defining dynamic market risk measures are available in the literature. Most ...
In discrete time, every time-consistent dynamic monetary risk measure can be written as a compositio...
In discrete time, every time-consistent dynamic monetary risk measure can be written as a compositio...
In discrete time, every time-consistent dynamic monetary risk measure can be written as a compositio...
This thesis aims to fill this gap between static and dynamic risk measures. It presents a theory of d...
The paper deals with the concept of coherent risk measure, in the sense of Artzner, Delbaen, Eber an...
AbstractMonetary measures of risk like Value at Risk or Worst Conditional Expectation assess the ris...
We study dynamic monetary risk measures that depend on bounded discrete-time processes describing th...
The article aims to survey recent advancements in risk management field. First a popular quantile-ba...
Monetary measures of risk like Value at Risk or Worst Conditional Expectation assess the risk of fin...
The paper provides an axiomatic characterization of dynamic risk measures for multi-period financial...
This thesis deals with risk measures based on utility functions and time consistency of dynamic risk...
An important tool in risk management is the implementation of risk measures. We study dynamic models...
We derive a representation for dynamic capital allocation when the underlying asset price process in...
The paper compares a number of available measures of financial risk and presents arguments in favor ...