Range-based risk measures and their applications
type: Item
instance of: scholarly article
title: Range-based risk measures and their applications
zbMATH Open document ID: 1545.91335
author: Marcelo Brutti Righi
author: Fernanda Maria Müller
published in: ASTIN Bulletin
publication date: 2024-07-09T00:00:00Z
review text: 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.
reviewed by: Pavel Stoynov
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 7878777
zbMATH Keywords: financial risk
zbMATH Keywords: tail risk measures
zbMATH Keywords: range-based risk measures
zbMATH Keywords: risk forecasting
MaRDI profile type: MaRDI publication profile
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DOI: 10.1017/ASB.2023.28
description: scientific article; zbMATH DE number 7878777