Computational Dynamic Market Risk Measures in Discrete Time Setting

Babacar Seck, Robert J. Elliott and Jean-Pierre Gueyie

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Abstract: Different approaches to defining dynamic market risk measures are available in the literature. Most are focused or derived from probability theory, economic behavior or dynamic programming. Here, we propose an approach to define and implement dynamic market risk measures based on recursion and state economy representation. The proposed approach is to be implementable and to inherit properties from static market risk measures.

Date: 2013-06
New Economics Papers: this item is included in nep-rmg
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