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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Fasen, V. and Svejda, A 
Titel:
Time-consistency of multi-period distortion measures 
Abstract:
Dynamic risk measures play an important role for the acceptance or non-acceptance of risks in a bank portfolio. Dynamic consistency and weaker versions like conditional and sequential consistency guarantee that acceptability decisions remain consistent in time. An important set of static risk measures are so-called distortion measures. We extend these risk measures to a dynamic setting within the framework of the notions of consistency as above. As a prominent example, we present the T...    »
 
Stichworte:
acceptability measure, conditional consistency, coherence, distortion measure, dynamic consistency, risk measure, sequential consistency, time-consistency, Tail-Value-at-Risk. 
Zeitschriftentitel:
Statistics & Risk Modeling 
Jahr:
2012 
Band / Volume:
29 
Heft / Issue:
Seitenangaben Beitrag:
133-153 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
Format:
Text