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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… 
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Papers overview

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2013
2013
To provide a solid analytic foundation for the module approach to conditional risk measures, this paper establishes a complete… 
Highly Cited
2012
2012
2012
We discuss linear regression approaches to the estimation of law-invariant conditional risk measures. Two estimation procedures… 
2011
2011
Known vulnerabilities which have been discovered but not patched represents a security risk which can lead to considerable… 
2010
2010
We study dynamic risk measures in a very general framework enabling to model uncertainty and processes with jumps. We previously… 
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… 
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… 
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… 
2001
2001
In this paper coherent risk measures and other currently used risk measures, notably Value-at-Risk (VaR), are studied from the…