Loss-Based Risk Measures

Rama Cont (), Romain Deguest and Xuedong He
Additional contact information
Rama Cont: LPMA - Laboratoire de Probabilités et Modèles Aléatoires - UPMC - Université Pierre et Marie Curie - Paris 6 - UPD7 - Université Paris Diderot - Paris 7 - CNRS - Centre National de la Recherche Scientifique, IEOR Dept - Industrial Engineering and Operations Research Department - Columbia University [New York]
Romain Deguest: EDHEC-Risk Institute - EDHEC - EDHEC Business School - UCL - Université catholique de Lille
Xuedong He: IEOR Dept - Industrial Engineering and Operations Research Department - Columbia University [New York]

Working Papers from HAL

Abstract: Starting from the requirement that risk measures of financial portfolios should be based on their losses, not their gains, we define the notion of loss-based risk measure and study the properties of this class of risk measures. We characterize loss-based risk measures by a representation theorem and give examples of such risk measures. We then discuss the statistical robustness of estimators of loss-based risk measures: we provide a general criterion for qualitative robustness of risk estimators and compare this criterion with sensitivity analysis of estimators based on influence functions. Finally, we provide examples of statistically robust estimators for loss-based risk measures.

Keywords: risk measure; coherent risk measure; Fenchel-Legendre transform; Choquet capacity (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-fmk, nep-mic, nep-rmg and nep-upt
Note: View the original document on HAL open archive server: https://hal.science/hal-00629929
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in 2011

Downloads: (external link)
https://hal.science/hal-00629929/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-00629929

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().