Capturing parameter risk with convex risk measures

DOI10.1007/S13385-013-0070-ZzbMATH Open1277.91072OpenAlexW2010029812MaRDI QIDQ362040FDOQ362040

Authors Karl F. Bannör, Matthias Scherer 

Publication date 20 August 2013

Published in European Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s13385-013-0070-z

zbMATH Keywords

convex risk measuresparameter riskrisk-capturing functionals

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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• Efficient hedging: cost versus shortfall risk
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• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Option hedging for semimartingales
• Quantile hedging
• RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
• Risk measure pricing and hedging in incomplete markets
• Stochastic finance. An introduction in discrete time.
• The Variance Gamma Process and Option Pricing

Cited In (12)

• Practice-relevant model validation: distributional parameter risk analysis in financial model risk management
• On the calibration of distortion risk measures to bid-ask prices
• Analyzing model robustness via a distortion of the stochastic root: a Dirichlet prior approach
• Model risk of contingent claims
• Affine processes under parameter uncertainty
• MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING
• Uncertainty quantification of derivative instruments
• Update rules for convex risk measures
• DYNAMIC PROBABILISTIC FORECASTING WITH UNCERTAINTY
• Risk functionals with convex level sets
• Structural electricity models and asymptotically normal estimators to quantify parameter risk
• Model risk in the over-the-counter market

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