Search Results - subject:"Conditional risk measures"

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Extreme-quantile tracking for financial time series

Chavez-Demoulin, V.; Embrechts, P.; Sardy, S. - In: Journal of Econometrics 181 (2014) 1, pp. 44-52

, say. As a result, we provide a method for estimating conditional risk measures applicable to both stationary and …

Persistent link: https://www.econbiz.de/10010776912

Extreme-quantile tracking for financial time series

Chavez-Demoulin, V.; Embrechts, Paul; Sardy, S. - In: Journal of econometrics 181 (2014) 1, pp. 44-52

Persistent link: https://www.econbiz.de/10010473421

Dynamic risk measures: Time consistency and risk measures from BMO martingales

Bion-Nadal, Jocelyne - In: Finance and Stochastics 12 (2008) 2, pp. 219-244

Persistent link: https://www.econbiz.de/10005613443

Convex risk measures and the dynamics of their penalty functions

Föllmer, Hans; Penner, Irina - In: Statistics & Risk Modeling 24 (2006) 1, pp. 61-96

SUMMARY We study various properties of a dynamic convex risk measure for bounded random variables which describe the discounted terminal values of financial positions. In particular we characterize time-consistency by a joint supermartingale property of the risk measure and its penalty function....

Persistent link: https://www.econbiz.de/10014621322

Approaches to conditional risk

FILIPOVIC, Damir; KUPPER, Michael; VOGELPOTH, Nicolas

We present and compare two dierent approaches to conditional risk measures. One approach draws from convex analysis in … analysis where conditional risk measures are dened on Lp type modules. Both approaches utilize general duality theory for … module-based convex analysis is well suited to the concept of conditional risk measures. …

Persistent link: https://www.econbiz.de/10010550288