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Time consistency of multi-period distortion measures
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Vicky Fasen
Published/Copyright:
June 27, 2012
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-Value-at-Risk (TVaR).
Keywords: Acceptability measure; Distortion measure; Tail-Value-at-Risk; Coherent risk measure; Risk management
Published Online: 2012-06-27
Published in Print: 2012-06
© by Oldenbourg Wissenschaftsverlag, Bonn, Germany
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Keywords for this article
Acceptability measure;
Distortion measure;
Tail-Value-at-Risk;
Coherent risk measure;
Risk management
