Maturity-Independent Risk Measures
Year Of Publication: 2008
Month Of Publication: December
Pages: 25
Download Count: 3
View Count: 56
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 7-28-2010
Publisher: Administrator
Summary
The new notion of maturity-independent risk measures is introduced and
contrasted with the existing risk measurement concepts. It is shown, by means of two
examples, one set on a finite probability space and the other in a diffusion framework,
that, surprisingly, some of the widely utilized risk measures cannot be used to build
maturity-independent counterparts. We construct a large class of maturity-independent
risk measures and give representative examples in both continuous- and discrete-time
financial models.
This document was published in SIAM Journal on Financial Mathematics (2010), volume 1, pp. 266-288 (http://dx.doi.org/10.1137/080739732)
contrasted with the existing risk measurement concepts. It is shown, by means of two
examples, one set on a finite probability space and the other in a diffusion framework,
that, surprisingly, some of the widely utilized risk measures cannot be used to build
maturity-independent counterparts. We construct a large class of maturity-independent
risk measures and give representative examples in both continuous- and discrete-time
financial models.
This document was published in SIAM Journal on Financial Mathematics (2010), volume 1, pp. 266-288 (http://dx.doi.org/10.1137/080739732)
Find all documents with these keywords:
risk measures dynamic convex risk measure multiperiod maturity independence
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VaR Methods——Properties of VaR
risk measures dynamic convex risk measure multiperiod maturity independence
Find all documents in these Categories:
VaR Methods——Properties of VaR
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