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… (More)
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Topic mentions per year

Topic mentions per year

2003-2017
024620032017

Papers overview

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2015
2015
OF THE DISSERTATION TIME-CONSISTENT APPROXIMATIONS OF RISK-AVERSE MULTISTAGE STOCHASTIC OPTIMIZATION PROBLEMS by Tsvetan Asamov… (More)
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2013
2013
Coherent and convex risk measures, Choquet expectation and Peng’s g-expectation are all generalizations of mathematical… (More)
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2011
2011
Known vulnerabilities which have been discovered but not patched represents a security risk which can lead to considerable… (More)
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2006
2006
Working in a continuous time setting, we extend to the general case of dynamic risk measures continuous from above the… (More)
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2006
2006
Under the continuous assumption on the generator g, Briand et al. [Electron. Comm. Probab. 5 (2000) 101–117] showed some… (More)
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2006
2006
We characterize time-consistent dynamic risk measures. In discrete time in context of uncertainty, we canonically associate a… (More)
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2006
2006
In this paper, we establish a class of dynamic risk measures for evaluating discrete-time process. Our research is mostly… (More)
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Review
2006
Review
2006
  • Hayri Körezlioğlu
  • 2006
DYNAMIC COHERENT RISK MEASURES KORKMAZ, SİBEL M.Sc., Department of Financial Mathemathics Supervisor: Prof. Dr. Hayri Körezlioğlu… (More)
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2004
2004
In this paper, we give the axiomatic characterization of risk measures and discuss the treads of developments in this area. The… (More)
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2003
2003
In this paper we present a method for defining a dynamic risk measure from a static risk measure, by backwards iteration. We… (More)
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