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2003-12-04Buch DOI: 10.18452/3656
Distribution-Invariant Dynamic Risk Measures
dc.contributor.authorWeber, Stefan
dc.date.accessioned2017-06-15T21:42:03Z
dc.date.available2017-06-15T21:42:03Z
dc.date.created2005-10-20
dc.date.issued2003-12-04none
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4308
dc.description.abstractThe paper provides an axiomatic characterization of dynamic risk measures for multi-period financial positions. For the special case of a terminal cash flow, we require that risk depends on its conditional distribution only. We prove a representation theorem for dynamic risk measures and investigate their relation to static risk measures. Two notions of dynamic consistency are proposed. A key insight of the paper is that dynamic consistency and the notion of “measure convex sets of probability measures” are intimately related. Measure convexity can be interpreted using the concept of compound lotteries. We characterize the class of static risk measures that represent consistent dynamic risk measures. It turns out that these are closely connected to shortfall risk. Under weak additional assumptions, static convex risk measures coincide with shortfall risk, if compound lotteries of acceptable respectively rejected positions are again acceptable respectively rejected. This result implies a characterization of dynamically consistent convex risk measures.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.relation.ispartofseriesSonderforschungsbereich 373: Quantification and Simulation of Economic Processes - 53, SFB 373 Papers, ISSN:1436-1086
dc.subjectDynamic risk measureeng
dc.subjectcapital requirementeng
dc.subjectmeasure of riskeng
dc.subjectdynamic consistencyeng
dc.subjectmeasure convexityeng
dc.subjectshortfall riskeng
dc.subject.ddc330 Wirtschaft
dc.titleDistribution-Invariant Dynamic Risk Measures
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10050879
dc.identifier.doihttp://dx.doi.org/10.18452/3656
local.edoc.container-titleSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
local.edoc.container-titleSFB 373 Papers
local.edoc.container-issn1436-1086
local.edoc.pages33
local.z-edoc.journal-periodikumAusgabe53,
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2003
local.edoc.container-issue53
local.edoc.container-year2003

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