Regulator-based risk statistics for portfolios
Risk Management
2020-06-23 v5 Probability
Abstract
Risk statistic is a critical factor not only for risk analysis but also for financial application. However, the traditional risk statistics may fail to describe the characteristics of regulator-based risk. In this paper, we consider the regulator-based risk statistics for portfolios. By further developing the properties related to regulator-based risk statistics, we are able to derive dual representation for such risk.
Keywords
Cite
@article{arxiv.1904.08829,
title = {Regulator-based risk statistics for portfolios},
author = {Xiaochuan Deng and Fei Sun},
journal= {arXiv preprint arXiv:1904.08829},
year = {2020}
}