Range-based risk measures and their applications (Q6569742)
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scientific article; zbMATH DE number 7878777
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| English | Range-based risk measures and their applications |
scientific article; zbMATH DE number 7878777 |
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Range-based risk measures and their applications (English)
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9 July 2024
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The authors propose a family of range-based risk measures to generalize the role of value at risk (VaR) in the formulation of range value at risk (RVaR) considering other risk measures induced by a tail level. Theoretical properties and representations of his type of measure are discussed. A score function is presented to evaluate the forecasts of the proposed measures. Applications are presented using Monte Carlo simulations and real financial data.
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financial risk
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tail risk measures
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range-based risk measures
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risk forecasting
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