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Titel:

Time-consistency of multi-period distortion measures

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Fasen, V. and Svejda, A
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 Tail V...     »
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:
2
Seitenangaben Beitrag:
133-153
Reviewed:
ja
Sprache:
en
Status:
Verlagsversion / published
Format:
Text
 BibTeX