Skip to search formSkip to main content
You are currently offline. Some features of the site may not work correctly.

Dynamic risk measure

Known as: Conditional risk measure 
In financial mathematics, a conditional risk measure is a random variable of the financial risk (particularly the downside risk) as if measured at… Expand
Wikipedia

Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
2013
2013
To provide a solid analytic foundation for the module approach to conditional risk measures, this paper establishes a complete… Expand
Highly Cited
2012
Highly Cited
2012
We consider the incorporation of a time-consistent coherent risk measure into a multi-stage stochastic programming model, so that… Expand
  • figure 1
  • figure 2
  • figure 3
  • figure 4
  • figure 5
2011
2011
Known vulnerabilities which have been discovered but not patched represents a security risk which can lead to considerable… Expand
  • figure 1
  • figure 2
  • figure 3
  • figure 4
  • figure 5
2010
2010
We study dynamic risk measures in a very general framework enabling to model uncertainty and processes with jumps. We previously… Expand
Highly Cited
2008
Highly Cited
2008
Abstract Time consistency is a crucial property for dynamic risk measures. Making use of the dual representation for conditional… Expand
Highly Cited
2008
Highly Cited
2008
Under the continuous assumption on the generator $g$, Briand et al. [Electron. Comm. Probab. 5 (2000) 101--117] showed some… Expand
Highly Cited
2007
Highly Cited
2007
We introduce a new notion of G-normal distributions. This will bring us to a new framework of stochastic calculus of Ito's type… Expand
Highly Cited
2006
Highly Cited
2006
SUMMARY We study various properties of a dynamic convex risk measure for bounded random variables which describe the discounted… Expand
2005
2005
We address the problem of managing a storable commodity portfolio, that includes physical assets and positions in spot and… Expand
1999
1999
Abstract In this paper we study methods for measuring risk. First, we introduce a conditional risk measure and point out that it… Expand