Maturity-independent risk measures
Risk Management
2008-12-02 v2 Optimization and Control
Probability
Abstract
The new notion of maturity-independent risk measures is introduced and contrasted with the existing risk measurement concepts. It is shown, by means of two examples, one set on a finite probability space and the other in a diffusion framework, that, surprisingly, some of the widely utilized risk measures cannot be used to build maturity-independent counterparts. We construct a large class of maturity-independent risk measures and give representative examples in both continuous- and discrete-time financial models.
Cite
@article{arxiv.0710.3892,
title = {Maturity-independent risk measures},
author = {Thaleia Zariphopoulou and Gordan Zitkovic},
journal= {arXiv preprint arXiv:0710.3892},
year = {2008}
}