A new risk measure MMVaR: properties and empirical research

DOI10.1007/S11424-023-2068-1zbMATH Open1546.91272MaRDI QIDQ6594963FDOQ6594963

Authors: Keqi Tan, Yu Chen, Dan Chen 

Publication date: 29 August 2024

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

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zbMATH Keywords

risk measuresubadditiveMMVaRmulti-period risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

• Coherent measures of risk
• A general approach to Lagrange multiplier model diagnostics
• Title not available (Why is that?)
• Coherent and convex monetary risk measures for unbounded càdlàg processes.
• Fat tails, VaR and subadditivity
• Local likelihood density estimation and value-at-risk
• Composition of time-consistent dynamic monetary risk measures in discrete time
• RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
• Title not available (Why is that?)
• Mark to market value at risk
• GFC-robust risk management under the Basel accord using extreme value methodologies
• Dynamic CVAR with multi-period risk problems

Cited In (1)

• Range-based risk measures and their applications

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