Tail VaR Measures in a Multi-period Setting

Yuta Katsuki and Koichi Matsumoto

Applied Mathematical Finance, 2014, vol. 21, issue 3, 270-297

Abstract: This paper studies a coherent acceptability measure which is a negative coherent risk measure, in a multi-period model. When a coherent acceptability measure changes according to new information in the market, a time consistency plays an important role. The usual strong time consistency gives too severe a multi-period Tail Value at Risk (Tail VaR) from a practical viewpoint. We study a weak type of time consistency and propose new multi-period Tail VaR measures.

Date: 2014
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DOI: 10.1080/1350486X.2013.851449

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