Maturity-independent risk measures

Thaleia Zariphopoulou and Gordan Zitkovic

Papers from arXiv.org

Abstract: The new notion of maturity-independent risk measures is introduced and contrasted with the existing risk measurement concepts. It is shown, by means of two examples, one set on a finite probability space and the other in a diffusion framework, that, surprisingly, some of the widely utilized risk measures cannot be used to build maturity-independent counterparts. We construct a large class of maturity-independent risk measures and give representative examples in both continuous- and discrete-time financial models.

Date: 2007-10, Revised 2008-08
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0710.3892

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