Coherent and convex risk measures for bounded càdlàg processes

It is common practice to describe the future evolution of a financial profit by a continuous-time stochastic model. A risk measure can then be viewed as a functional on a space of continuous-time stochastic processes. We extend the notions of coherent and convex risk measures to the space of bounded cadlag processes that are adapted to a given filtration. Then, we prove representation results that generalize earlier results for one- and multi-period risk measures, and we discuss some examples.

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Year of publication:	2003-04-08
Authors:	Cheridito, Patrick ; Delbaen, Freddy ; Kupper, Michael
Institutions:	Institut für Schweizerisches Bankwesen <Zürich> ; National Centre of Competence in Research North South <Bern>
Subject:	Risikomaß \| Stochastisches Modell \| Kapitalprofit

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Extent:	20 p. application/pdf
Series:	Universität Zürich - Institut für Schweizerisches Bankwesen - Working Papers Working Paper ; No. 51 (2003)
Type of publication:	Book / Working Paper
Language:	English
Classification:	Corporate finance and investment policy. General ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)