اشترك بالحزمة الذهبية واحصل على وصول غير محدود شمرا أكاديميا
تسجيل مستخدم جديدDynamic risk measures
197
0
0.0
(
0
)
اسأل ChatGPT حول البحث
ﻻ يوجد ملخص باللغة العربية
This paper gives an overview of the theory of dynamic convex risk measures for random variables in discrete time setting. We summarize robust representation results of conditional convex risk measures, and we characterize various time consistency properties of dynamic risk measures in terms of acceptance sets, penalty functions, and by supermartingale properties of risk processes and penalty functions.
قيم البحث
اقرأ أيضاً
This paper approaches the definition and properties of dynamic convex risk measures through the notion of a family of concave valuation operators satisfying certain simple and credible axioms. Exploring these in the simplest context of a finite time
set and finite sample space, we find natural risk-transfer and time-consistency properties for a firm seeking to spread its risk across a group of subsidiaries.
In the conditional setting we provide a complete duality between quasiconvex risk measures defined on $L^{0}$ modules of the $L^{p}$ type and the appropriate class of dual functions. This is based on a general result which extends the usual Penot-Vol
le representation for quasiconvex real valued maps.
Expanding on techniques of concentration of measure, we develop a quantitative framework for modeling liquidity risk using convex risk measures. The fundamental objects of study are curves of the form $(rho(lambda X))_{lambda ge 0}$, where $rho$ is a
convex risk measure and $X$ a random variable, and we call such a curve a emph{liquidity risk profile}. The shape of a liquidity risk profile is intimately linked with the tail behavior of the underlying $X$ for some notable classes of risk measures, namely shortfall risk measures. We exploit this link to systematically bound liquidity risk profiles from above by other real functions $gamma$, deriving tractable necessary and sufficient conditions for emph{concentration inequalities} of the form $rho(lambda X) le gamma(lambda)$, for all $lambda ge 0$. These concentration inequalities admit useful dual representations related to transport inequalities, and this leads to efficient uniform bounds for liquidity risk profiles for large classes of $X$. On the other hand, some modest new mathematical results emerge from this analysis, including a new characterization of some classical transport-entropy inequalities. Lastly, the analysis is deepened by means of a surprising connection between time consistency properties of law invariant risk measures and the tensorization of concentration inequalities.
We propose a generalization of the classical notion of the $V@R_{lambda}$ that takes into account not only the probability of the losses, but the balance between such probability and the amount of the loss. This is obtained by defining a new class of
law invariant risk measures based on an appropriate family of acceptance sets. The $V@R_{lambda}$ and other known law invariant risk measures turn out to be special cases of our proposal. We further prove the dual representation of Risk Measures on $mathcal{P}(% mathbb{R}).$
In order to evaluate the quality of the scientific research, we introduce a new family of scientific performance measures, called Scientific Research Measures (SRM). Our proposal originates from the more recent developments in the theory of risk meas
ures and is an attempt to resolve the many problems of the existing bibliometric indices. The SRM that we introduce are based on the whole scientists citation record and are: coherent, as they share the same structural properties; flexible to fit peculiarities of different areas and seniorities; granular, as they allow a more precise comparison between scientists, and inclusive, as they comprehend several popular indices. Another key feature of our SRM is that they are planned to be calibrated to the particular scientific community. We also propose a dual formulation of this problem and explain its relevance in this context.
سجل دخول لتتمكن من نشر تعليقات
التعليقات
جاري جلب التعليقات
سجل دخول لتتمكن من متابعة معايير البحث التي قمت باختيارها
