Tail VaR measures in a multi-period setting
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Publication:4586032
DOI10.1080/1350486X.2013.851449zbMATH Open1395.91512MaRDI QIDQ4586032FDOQ4586032
Authors: Yuta Katsuki, Koichi Matsumoto 
Publication date: 11 September 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
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Cites Work
- Coherent measures of risk
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- Stochastic finance. An introduction in discrete time
- Convex measures of risk and trading constraints
- Conditional and dynamic convex risk measures
- Convex risk measures and the dynamics of their penalty functions
- DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
- Update rules for convex risk measures
- Quasi-sure analysis, aggregation and dual representations of sublinear expectations in general spaces
- Dynamic risk measures
- Dynamic monetary risk measures for bounded discrete-time processes
- Time consistency conditions for acceptability measures, with an application to tail value at risk
- Coherent multiperiod risk adjusted values and Bellman's principle
- Dynamic coherent risk measures
- The structure of \(m\)-stable sets and in particular of the set of risk neutral measures
- Backward stochastic difference equations and nearly time-consistent nonlinear expectations
- Title not available (Why is that?)
- COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS
- Title not available (Why is that?)
Cited In (7)
- Multivariate tail conditional expectation for elliptical distributions
- Time consistency and information monotonicity of multiperiod acceptability functionals
- Fat tails, VaR and subadditivity
- Time consistency conditions for acceptability measures, with an application to tail value at risk
- A new coherent multivariate average-value-at-risk
- Time consistency of multi-period distortion measures
- An algorithm for sequential tail value at risk for path-independent payoffs in a binomial tree
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