Range-based risk measures and their applications
The authors propose a family of range-based risk measures to generalize the role of value at risk (VaR) in the formulation of range value at risk (RVaR) considering other risk measures induced by a tail level. Theoretical properties and representations of his type of measure are discussed. A score function is presented to evaluate the forecasts of the proposed measures. Applications are presented using Monte Carlo simulations and real financial data.
scientific article; zbMATH DE number 7878777
scientific article