Tail VaR measures in a multi-period setting

DOI10.1080/1350486X.2013.851449MaRDI QIDQ4586032zbMATH OpenFDO

Authors Yuta Katsuki, Koichi Matsumoto

Publication date 11 September 2018

Published in Applied Mathematical Finance (Search for Journal in Brave)

zbMATH Keywords

coherent risk measuretime consistencytail value at risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Recommendations

• Time consistency conditions for acceptability measures, with an application to tail value at risk
• Time consistency of multi-period distortion measures
• Time consistent dynamic risk measures
• Coherent multiperiod risk adjusted values and Bellman's principle
• Multi-portfolio time consistency for set-valued convex and coherent risk measures

Cites work

• scientific article; zbMATH DE number 5257517 (Why is no real title available?)
• scientific article; zbMATH DE number 5181830 (Why is no real title available?)
• Backward stochastic difference equations and nearly time-consistent nonlinear expectations
• COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS
• Coherent measures of risk
• Coherent multiperiod risk adjusted values and Bellman's principle
• Conditional and dynamic convex risk measures
• Convex measures of risk and trading constraints
• Convex risk measures and the dynamics of their penalty functions
• DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
• DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
• Dynamic coherent risk measures
• Dynamic monetary risk measures for bounded discrete-time processes
• Dynamic risk measures
• Quasi-sure analysis, aggregation and dual representations of sublinear expectations in general spaces
• Stochastic finance. An introduction in discrete time
• The structure of \(m\)-stable sets and in particular of the set of risk neutral measures
• Time consistency conditions for acceptability measures, with an application to tail value at risk
• Update rules for convex risk measures

Cited in

(7)

• Multivariate tail conditional expectation for elliptical distributions
• Fat tails, VaR and subadditivity
• Time consistency and information monotonicity of multiperiod acceptability functionals
• 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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