In this paper we explore a novel way to combine the dynamic notion of time-consistency with the static notion of quantile-based coherent risk-measure or spectral risk measure, of which Expected Shortfall is a prime example. We introduce a class of dynamic risk measures in terms of a certain...

We introduce two subclasses of convex measures of risk, referred to as entropy coherent and entropy convex measures of risk. We prove that convex, entropy convex and entropy coherent measures of risk emerge as certainty equivalents under variational, homothetic and multiple priors preferences,...

This article presents a framework for modeling defaultable debt under alternative recovery conventions (for a wide class of processes describing recovery rates and default probability). These debt models have the ability to differentiate the impact of recovery rates and default probability, and...