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Starting with a time-0 coherent risk measure defined for " value processes " , we define, also at intermediate times, a risk measurement process. Two other constructions of such measurement processes are given in terms of sets of test probabilities. These constructions are identical and related to the former construction when the sets fulfill a stability… (More)

We consider a bank having several trading desks, each of which trades a different class of contingent claims with each desk using a different model. We assume that the models are arbitrage-free. A practical question is whether a bank using several models can be arbitraged. Surprisingly it can happen that in some cases there must be an arbitrage. We discuss… (More)

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