A Note on the Convergence of Euler Contributions, Depending on the Underlying Risk Measure

Georgios C. Zachos ()
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Georgios C. Zachos: School of Administrative, Economic and Social Sciences, University of West Attica, Department of Accounting and Finance

Chapter Chapter 16 in Quantitative Methods and Data Analysis in Applied Demography - Volume 2, 2025, pp 201-210 from Springer

Abstract: Abstract This paper is devoted to the Convergence of the so called Euler Risk Contributions when the underlying Risk Measures differ. To that end, our discussion is in regard of Euler contributions in a Risk Measure environment. In addition, we proceed by defining some conditions where the rate of convergence of Euler Risk Contributions in a Value at Risk regulation environment and Distortion Risk Measure regulation environment coincide. Finally, we generalize our findings in regard of the Expected Shortfall case.

Keywords: Systemic risk; Euler contributions; Distortion risk measures; Rate of convergence (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:spr:ssdmcp:978-3-031-82279-7_16

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DOI: 10.1007/978-3-031-82279-7_16

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