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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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Related topics

Related topics

6 relations
Acceptance setCoherent risk measureDownside riskRisk measure

Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
2019
2019
A new approach of coherent risk-measure pricing
In this paper, we revisit the discrete-time partial hedging problem of contingent claims with respect to a dynamic risk-measure… 
2015
2015
Discrete-Time Approximation of Risk-Averse Control Problems for Diffusion Processes
We consider optimal control problems for diffusion processes, where the objective functional is defined by a time-consistent… 
2015
2015
Time Consistent Recursive Risk Measures Under Regime Switching and Factor Models and Their Application in Dynamic Portfolio Selection
The proper description of dynamic information correlation among individual stages is very important for the construction of multi… 
2015
2015
Dual Representation of Convex Increasing Functionals with Applications to Finance
This thesis deals with the dual representation of various nonlinear functionals and provides applications to financial… 
2015
2015
A Time Consistent Formulation of Risk Constrained Stochastic Optimal Control
Time-consistency is an essential requirement in risk sensitive optimal control problems to make rational decisions. An… 
2014
2014
Time-Consistency: from Optimization to Risk Measures
Stochastic optimal control is concerned with sequential decision-making under uncertainty. The theory of dynamic risk measures… 
2009
2009
Study on Dynamic Risk Measure of Financial Markets Based on Skew-t-FIAPARCH Model
This paper Appies FIAPARCH and skew student t distribution to capture conditional volatility and skew distribution in financial… 
2004
2004
The Iterated Tail Conditional Expectation for the Log-Elliptical Loss Process∗†
This paper derives the analytic form of the Iterated Tail Conditional Expectation (ITCE) risk measure in the case of a log… 
2003
2003
Dynamic risk measure
2002
2002
Coherent risk measures in a dynamic framework
The paper deals with the concept of coherent risk measure, in the sense of Artzner, Delbaen, Eber and Heath (1999), but assumes a… 
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