Approaches to conditional risk

Damir Filipovic, Michael Kupper and Nicolas Vogelpoth
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Damir Filipovic: Ecole Polytechnique Federale de Lausanne and Swiss Finance Institute
Michael Kupper: Humboldt Universität zu Berlin
Nicolas Vogelpoth: Morgan Stanleyl

No 11-02, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: We present and compare two di erent approaches to conditional risk measures. One approach draws from convex analysis in vector spaces and presents risk measures as functions on Lp spaces, while the other approach utilizes module-based convex analysis where conditional risk measures are de ned on Lp type modules. Both approaches utilize general duality theory for vector valued convex functions in contrast to the current literature in which we find ad hoc dual representations. By presenting several applications such as monotone and (sub)cash invariant hulls with corresponding examples we illustrate that module-based convex analysis is well suited to the concept of conditional risk measures.

Keywords: Conditional risk measures; L0-modules; Lp type modules; Monotone hulls; Subcash invariant hulls; Cash invariant hulls (search for similar items in EconPapers)
JEL-codes: C60 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2011-01
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp1102

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