Adelaide Research & Scholarship
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https://hdl.handle.net/2440/88723
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| Type: | Journal article |
| Title: | Computational dynamic market risk measures in discrete time setting |
| Author: | Seck, B. Elliott, R. Gueyie, J. |
| Citation: | International Journal of Financial Engineering and Risk Management, 2013; 1(4):334-354 |
| Publisher: | Inderscience Publishers |
| Issue Date: | 2013 |
| ISSN: | 2049-0909 2049-0917 |
| Statement of Responsibility: | Babacar Seck, Robert J. Elliott, Jean-Pierre Gueyie |
| 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. |
| Keywords: | Dynamic risk measures; Markov Chain; Value-at-Risk; Conditional Value-at-Risk |
| DOI: | 10.1504/IJFERM.2014.065649 |
| Published version: | http://dx.doi.org/10.1504/ijferm.2014.065649 |
| Appears in Collections: | Aurora harvest 7 Mathematical Sciences publications |
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