Computational dynamic market risk measures in discrete time setting
Date
2013
Authors
Seck, B.
Elliott, R.
Gueyie, J.
Editors
Advisors
Journal Title
Journal ISSN
Volume Title
Type:
Journal article
Citation
International Journal of Financial Engineering and Risk Management, 2013; 1(4):334-354
Statement of Responsibility
Babacar Seck, Robert J. Elliott, Jean-Pierre Gueyie
Conference Name
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.
School/Discipline
Dissertation Note
Provenance
Description
Access Status
Rights
Copyright 2014 Inderscience Publishers