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Register a new userRisk measures for processes and BSDEs
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Added by
Anthony Reveillac
Publication date
2013
fields
Financial
and research's language is
English
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The paper analyzes risk assessment for cash flows in continuous time using the notion of convex risk measures for processes. By combining a decomposition result for optional measures, and a dual representation of a convex risk measure for bounded cd processes, we show that this framework provides a systematic approach to the both issues of model ambiguity, and uncertainty about the time value of money. We also establish a link between risk measures for processes and BSDEs.
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