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coherent risk measure sign in to follow this
dynamic risk measure sign in to follow this
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Computational Dynamic Market Risk Measures in Discrete Time Setting
Year Of Publication: 2013
Month Of Publication: June
Resource Link: Click here to open
Pages: 16
Download Count: 0
View Count: 1061
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 6-29-2013
Publisher: Administrator
Summary
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.
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Author(s)
Seck, Babacar Sign in to follow this author
Elliott, Robert J. Sign in to follow this author
Gueyie, Jean-Pierre Sign in to follow this author
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