Time consistency of multi-period distortion measures

Fasen Vicky and Svejda Adela
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Fasen Vicky: ETH Zürich, RiskLab, Zürich, Schweiz

Statistics & Risk Modeling, 2012, vol. 29, issue 2, 133-153

Abstract: Dynamic risk measures play an important role for the acceptance or non-acceptance of risks in a bank portfolio. Dynamic consistency and weaker versions like conditional and sequential consistency guarantee that acceptability decisions remain consistent in time. An important set of static risk measures are so-called distortion measures. We extend these risk measures to a dynamic setting within the framework of the notions of consistency as above. As a prominent example, we present the Tail-Value-at-Risk (TVaR).

Keywords: Acceptability measure; Distortion measure; Tail-Value-at-Risk; Coherent risk measure; Risk management (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1524/strm.2012.1115

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