Conditional and dynamic convex risk measures

By Kai Detlefsen, Giacomo Scandolo. Finance and Stochastics, 2005

391 citations recorded by the source corpus.

Subfields: Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/0a6a4daabd7b3738f74aa32c00929e8d17273be1

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In Management Science and Operations Research

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Citations in the corpus

Bid-Ask Dynamic Pricing in Financial Markets with Transaction Costs and Liquidity Risk (2007, methodology): “For papers on dynamic risk measures we also refer to Delbaen [25] for the study of coherent (or homogeneous) dynamic risk measures, to Detlefsen and Scandolo [29] and Föllmer and Penner [38] for dynamic risk measures in a discrete time setting and to Bion-Nadal [12] and [13] for dynamic risk”
Dynamic exponential utility indifference valuation (2005, background): “This is one possible extension to the dynamic case of the semicontinuity requirements studied for static risk measures (or utility functionals); see, for instance, [14] or [ 10 ] for a recent conditional version.”
Pricing with Coherent Risk (2006, background): “Currently, one of the major tasks is the problem of proper risk measurement in the dynamic setting; see, in particular, [12], [25], [36], [45], and [46].”
Separation and duality in locally L 0 -convex modules (2009, background): “The restriction ρt to bounded risks, that is L∞(F), has been analyzed in [2,5,7,9].”
VALUATIONS AND DYNAMIC CONVEX RISK MEASURES (2007, background): “…as the cash balance I [τ,T ] K, which pays nothing up until time τ , then a lump sum of Kτ . dynamic consistency appears much simpler: see, for example, Peng (2005) and Detlefsen and Scandolo (2005), where it is possible to express dynamic consistency as πτ = πτπσ for any stopping times τ ≤ σ .”
Convex risk measures and the dynamics of their penalty functions (2006, methodology): “We define a conditional convex risk measure as in [11]: Definition 2.”
Dynamic risk measures (2010, background): “As its static counterpart, a conditional convex risk measure can be represented as the worst conditional expected loss over a class of suitably penalized probability measures; see [31, 30, 17, 6, 26, 12].”
Lectures on Stochastic Programming: Modeling and Theory (2009, methodology): “The theory of dynamic measures of risk in discrete time was developed in Artzner, Delbaen, Eber, Heath and Ku [9], Cheridito, Delbaen and Kupper [37], Detlefsen and Scandolo [67], Eichhorn and Römisch [74], Pflug and Römisch [182], Pflug and”
To Split or Not to Split: Capital Allocation with Convex Risk Measures (2007, positive): “Convex risk measures were introduced in the mathematical ﬁnance literature by F¨ollmer and Schied (2002) and Frittelli and Rosazza Gianin (2002) and spurred a lively research area including dynamic generalisations (Detlefsen and Scandolo, 2005).”
Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2004, result): “We also refer to the articles Bion Nadal (2004), Detlefsen and Scandolo (2005) , and”
Time consistent dynamic risk processes (2009, methodology): “This result generalizes the dual representation (Theorem 1 of [11]) which was proved by Detlefesen and Scandolo for the case where Q is equal to P .”
CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY (2007, background): “he reader to the proof of decreasing monotonicity in Proposition 5.6. FT -cash invariance and convexity follow respectively from the deﬁnition of 5For conditional risk measures see Bion-Nadal (2004), Detlefsen and Scandolo (2005) and references therein. 24 ρ˜V FT and the convexity of V. Conversely: ”
Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions (2008, background): “This is specified as a significant property of a dynamic risk measure by (7).”
Recent progress in random metric theory and its applications to conditional risk measures (2010, methodology): “Various interpretations of the additional information in [4, 11] show that the theory of conditional risk measures open a way to the analysis of the consequences of asymmetric information for risk measurement.”
Time-Inconsistency of VaR and Time-Consistent Alternatives (2007, neutral): “In the context of risk measurement time-consistency has been investigated among others, by Riedel (2004), Barrieu and El Karoui (2004), Detlefsen and Scandolo (2005), Cheridito et al. (2006), Delbaen (2006), Weber (2006), Artzner et al. (2007).”