Beyond cash-additive risk measures: when changing the numéraire fails

DOI10.1007/s00780-013-0220-9zbMath1308.91079arXiv1206.0478OpenAlexW3123231268MaRDI QIDQ471176

Cosimo Munari, Walter Farkas, Pablo Koch-Medina

Publication date: 14 November 2014

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1206.0478

zbMATH Keywords

quasiconvexityvalue-at-riskrisk measuresdefaultable bondscash subadditivityacceptance setsgeneral eligible assetsshortfall risktail value-at-risk

Mathematics Subject Classification ID

Related Items (20)

Star-Shaped Risk Measures ⋮ Portfolio Optimization with Quasiconvex Risk Measures ⋮ Automatic Fatou property of law-invariant risk measures ⋮ Combining multi-asset and intrinsic risk measures ⋮ Model spaces for risk measures ⋮ Minkowski deviation measures ⋮ Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces ⋮ Stability properties of Haezendonck-Goovaerts premium principles ⋮ Comparative and qualitative robustness for law-invariant risk measures ⋮ Diversification, protection of liability holders and regulatory arbitrage ⋮ Measuring risk with multiple eligible assets ⋮ Risk sharing for capital requirements with multidimensional security markets ⋮ Multi-utility representations of incomplete preferences induced by set-valued risk measures ⋮ Capital allocation rules and acceptance sets ⋮ Law-invariant functionals that collapse to the mean ⋮ A Comparison of Techniques for Dynamic Multivariate Risk Measures ⋮ Capital requirements with defaultable securities ⋮ Булевозначный подход к анализу условного риска ⋮ A continuous selection for optimal portfolios under convex risk measures does not always exist ⋮ MULTIVARIATE DYNAMIC CASH SUB-ADDITIVE RISK MEASURES FOR PROCESSES

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