Regulator-based risk statistics for portfolios (Q782118)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Regulator-based risk statistics for portfolios |
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Regulator-based risk statistics for portfolios (English)
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22 July 2020
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Summary: 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.
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