This paper examines the properties that a risk measure should satisfy in order to characterize an investor … risk measure. This analysis is the first step in understanding how to classify an investor's risk. Risk is an asymmetric …-temporal dependence, risk-time aggregation, and the impact of several economic phenomena that could influence an investor's preferences …

For a given risk, the well-known classical definition of Value-at-Risk (VaR) does not take into account possible … among risks, such as the Co-Value-at-Risk (CoVaR), have been defined and studied in recent literature. In this paper we …

For a given risk, the well-known classical definition of Value-at-Risk (VaR) does not take into account possible … among risks, such as the Co-Value-at-Risk (CoVaR), have been defined and studied in recent literature. In this paper we …