Computational Dynamic Market Risk Measures in Discrete Time Setting
Risk Management
2013-06-25 v1
Abstract
Different approaches to defining dynamic market risk measures are available in the literature. Most are focused or derived from probability theory, economic behavior or dynamic programming. Here, we propose an approach to define and implement dynamic market risk measures based on recursion and state economy representation. The proposed approach is to be implementable and to inherit properties from static market risk measures.
Cite
@article{arxiv.1306.5705,
title = {Computational Dynamic Market Risk Measures in Discrete Time Setting},
author = {Babacar Seck and Robert J. Elliott and Jean-Pierre Gueyie},
journal= {arXiv preprint arXiv:1306.5705},
year = {2013}
}
Comments
16 pages, 3 figures