Regulator-based risk statistics with scenario analysis

DOI10.1155/2021/3056510MaRDI QIDQ6317720zbMATH OpenOpenAlexFDO

Authors Xiaochuan Deng, Fei Sun

Publication date 16 April 2019

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2021/3056510

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30)

Abstract: As regulators pay more attentions to losses rather than gains, we are able to derive a new class of risk statistics, named regulator-based risk statistics with scenario analysis in this paper. This new class of risk statistics can be considered as a kind of risk extension of risk statistics introduced by Kou et al. cite{11}, and also data-based versions of loss-based risk measures introduced by Cont et al. cite{5} and Sun et al. cite{12}.

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Cites work

• A note on convex risk statistic
• A note on natural risk statistics
• Coherent measures of risk
• Convex measures of risk and trading constraints
• External risk measures and Basel accords
• scientific article; zbMATH DE number 1795842 (Why is no real title available?)
• Loss-based risk measures
• Quasiconvex risk statistics with scenario analysis
• Regulator-based risk statistics for portfolios
• RISK MEASURES ON ORLICZ HEARTS
• Risk measures on the space of infinite sequences
• Set-valued loss-based risk measures

Cited in

(1)

• Regulator-based risk statistics for portfolios

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