Regulator-based risk statistics with scenario analysis
Risk Management
2020-07-08 v2 Probability
Abstract
As regulators pay more attentions to losses rather than gains, we are able to derive a new class of risk statistics, named regulator-based risk statistics with scenario analysis in this paper. This new class of risk statistics can be considered as a kind of risk extension of risk statistics introduced by Kou et al. \cite{11}, and also data-based versions of loss-based risk measures introduced by Cont et al. \cite{5} and Sun et al. \cite{12}.
Keywords
Cite
@article{arxiv.1904.11032,
title = {Regulator-based risk statistics with scenario analysis},
author = {Xiaochuan Deng and Fei Sun},
journal= {arXiv preprint arXiv:1904.11032},
year = {2020}
}