Loss-Based Risk Measures

  title={Loss-Based Risk Measures},
  author={Rama Cont and Romain Deguest and Xuedong He},
Starting from the requirement that risk measures of financial portfolios should be based on their losses, not their gains, we define the notion of loss-based risk measure and study the properties of this class of risk measures. We characterize loss-based risk measures by a representation theorem and give examples of such risk measures. We then discuss the statistical robustness of estimators of loss-based risk measures: we provide a general criterion for qualitative robustness of risk… CONTINUE READING

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