Model spaces for risk measures
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Abstract: We show how risk measures originally defined in a model free framework in terms of acceptance sets and reference assets imply a meaningful underlying probability structure. Hereafter we construct a maximal domain of definition of the risk measure respecting the underlying ambiguity profile. We particularly emphasise liquidity effects and discuss the correspondence between properties of the risk measure and the structure of this domain as well as subdifferentiability properties. Keywords: Model free risk assessment, extension of risk measures, continuity properties of risk measures, subgradients.
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Cited in
(17)- Optimal initial capital induced by the optimized certainty equivalent
- Disentangling price, risk and model risk: V\&R measures
- Topological duals of locally convex function spaces
- Combining multi-asset and intrinsic risk measures
- Risk sharing for capital requirements with multidimensional security markets
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- Environmental management and restoration under unified risk and uncertainty using robustified dynamic Orlicz risk
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