Abstract
In the late 90s an increasing interest has been developing towards risk measures, in particular the Value at Risk (VaR) and the Conditional Value at Risk (CVaR). The use of such risk measures is due, on the one hand, to the rules imposed by the Basel Accord on the deposit of margins by banks and financial institutions because of the financial risks they are exposed to. On the other hand, these tools are important to quantify the riskiness assumed by an investor or an intermediary because of his financial transactions.
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Notes
- 1.
1 We recall (see, among many others, [2]) that a dynamic risk measure is a family (ρ t ) t=0,1,2 defined on a space χ of random variables such that ρ t (X) is \( \mathcal{F}_t \)-measurable, i.e. it takes into account all the information available until time t. In particular, ρ0(X) ∈ ℝ. A risk measure is then said to be time-consistent if ρ0(−ρ t (X)) = ρ0(X) for any X ∈ χ and t ∈ [0, T].
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Gianin, E.R., Sgarra, C. (2013). Risk Measures: Value at Risk and beyond. In: Mathematical Finance: Theory Review and Exercises. UNITEXT(), vol 70. Springer, Cham. https://doi.org/10.1007/978-3-319-01357-2_12
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DOI: https://doi.org/10.1007/978-3-319-01357-2_12
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-01356-5
Online ISBN: 978-3-319-01357-2
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