Add to ORKGThis paper contains an overview of results for dynamic multivariate risk measures. We provide the main results of four different approaches. We will prove under which assumptions results within these approaches coincide, and how properties like primal and dual representation and time consistency in the different approaches compare to each other
In discrete time, every time-consistent dynamic monetary risk measure can be written as a compositio...
This paper compares two different frameworks recently introduced in the literature for measuring ris...
The paper deals with the concept of coherent risk measure, in the sense of Artzner, Delbaen, Eber an...
We introduce the time-consistency concept that is inspired by the so-called principle of optimality ...
Introduced by Artzner, Delbaen, Eber and Heath (1998) the axiomatic charac-terization of a static co...
The dynamic evolution of tail–risk interdependence among institutions is of primary importance when ...
Introduced by Artzner et al. (1998) the axiomatic characterization of a static coherent risk measure...
The dynamic evolution of tail–risk interdependence among institutions is of primary importance when ...
The article aims to survey recent advancements in risk management field. First a popular quantile-ba...
Risk management in this paper is focused on multivariate risk-return decision making assuming time-v...
Risk management in this paper is focused on multivariate risk-return decision making assuming time-v...
This thesis aims to fill this gap between static and dynamic risk measures. It presents a theory of d...
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...
Introduced by Artzner et al. (1998) the axiomatic characterization of a static coherent risk measure...
In discrete time, every time-consistent dynamic monetary risk measure can be written as a compositio...
This paper compares two different frameworks recently introduced in the literature for measuring ris...
The paper deals with the concept of coherent risk measure, in the sense of Artzner, Delbaen, Eber an...
We introduce the time-consistency concept that is inspired by the so-called principle of optimality ...
Introduced by Artzner, Delbaen, Eber and Heath (1998) the axiomatic charac-terization of a static co...
The dynamic evolution of tail–risk interdependence among institutions is of primary importance when ...
Introduced by Artzner et al. (1998) the axiomatic characterization of a static coherent risk measure...
The dynamic evolution of tail–risk interdependence among institutions is of primary importance when ...
The article aims to survey recent advancements in risk management field. First a popular quantile-ba...
Risk management in this paper is focused on multivariate risk-return decision making assuming time-v...
Risk management in this paper is focused on multivariate risk-return decision making assuming time-v...
This thesis aims to fill this gap between static and dynamic risk measures. It presents a theory of d...
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...
Introduced by Artzner et al. (1998) the axiomatic characterization of a static coherent risk measure...
In discrete time, every time-consistent dynamic monetary risk measure can be written as a compositio...
This paper compares two different frameworks recently introduced in the literature for measuring ris...
The paper deals with the concept of coherent risk measure, in the sense of Artzner, Delbaen, Eber an...