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
Is this relevant?
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
Is this relevant?
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
Is this relevant?
2011
2011
Operations which form new risk measures from a collection of given (often simpler) risk measures have been used extensively in… Expand
Is this relevant?
2010
2010
We study dynamic risk measures in a very general framework enabling to model uncertainty and processes with jumps. We previously… Expand
Is this relevant?
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
Is this relevant?
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
Is this relevant?
Highly Cited
2006
Highly Cited
2006
We study various properties of a dynamic convex risk measure for bounded random variables which describe the discounted terminal… Expand
Is this relevant?
2005
2005
We address the problem of managing a storable commodity portfolio, that includes physical assets and positions in spot and… Expand
Is this relevant?
2001
2001
In this paper coherent risk measures and other currently used risk measures, notably Value-at-Risk (VaR), are studied from the… Expand
Is this relevant?