A new risk measure MMVaR: properties and empirical research

DOI10.1007/s11424-023-2068-1zbMath1546.91272MaRDI QIDQ6594963

Dan Chen, Yu Chen, Keqi Tan

Publication date: 29 August 2024

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

zbMATH Keywords

risk measuresubadditiveMMVaRmulti-period risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

• Unnamed Item
• Unnamed Item
• Fat tails, VaR and subadditivity
• Local likelihood density estimation and value-at-risk
• A general approach to Lagrange multiplier model diagnostics
• Mark to market value at risk
• GFC-robust risk management under the Basel accord using extreme value methodologies
• Dynamic CVAR with multi-period risk problems
• Coherent and convex monetary risk measures for unbounded càdlàg processes.
• Coherent Measures of Risk
• COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME
• RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES

This page was built for publication: A new risk measure MMVaR: properties and empirical research