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Document type:
Zeitschriftenaufsatz 
Author(s):
Fasen, V. and Svejda, A 
Title:
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...    »
 
Keywords:
acceptability measure, conditional consistency, coherence, distortion measure, dynamic consistency, risk measure, sequential consistency, time-consistency, Tail-Value-at-Risk. 
Journal title:
Statistics & Risk Modeling 
Year:
2012 
Journal volume:
29 
Journal issue:
Pages contribution:
133-153 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
Format:
Text