DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY

By Stefan Weber. 2006

261 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/fe1eff7b111f41804c1503e0cab1c51daff653fa

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Citations in the corpus

DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES (2007, background): “The recent work of Weber (2006) is less relevant for our goals, because law-invariance does not fit well with the notion of hedging.”
Representation results for law invariant time consistent functions (2009, background): “Remark 1.11 Weber [24] studies law invariant dynamic convex risk measures which satisfy a weaker time consistency property.”
RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES (2006, background): “Riedel (2004) and Weber (2006) propose, as a part of the definition of a dynamic risk measure, a common definition of translation invariance for the risk measurement at time t0.”
Higher order elicitability and Osband’s principle (2015, background): “Finally, ESα fails to be 1-elicitable [Gneiting (2011), Weber (2006)], whereas VaRα is 1-elicitable for most classes of distributions F of practical relevance.”
Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting (2015, background): “In this context, it has been shown by Weber (2006) and Gneiting (2011) that Expected Shortfall (ES) is not elicitable.”
Robust return risk measures (2017, unknown): “The second contribution is to provide an axiomatic foundation to Orlicz premia, which can be considered as the appropriate analog of the well-known characterization of utilitybased shortfall risk (see [14,40]).”
Risk Measures and Robust Optimization Problems (2006, background): “[4, 5, 6], Delbaen [22], Föllmer and Schied [34, 35], Frittelli and Scandolo [39], Riedel [57], Weber [67], to mention only a few.”
COHERENCE AND ELICITABILITY (2013, background): “Weber (2006) also studied law-invariant risk measures with convex level sets.”
Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2004, background): “…have been studied in different contexts; see, for instance, Koopmans (1960), Kreps and Porteus (1978), Epstein and Zin (1989), Duffie and Epstein (1992), Wang (2003), Epstein and Schneider (2003), Delbaen (2003), Artzner et al. (2004), Riedel (2004), Peng (2004), Roorda et al. (2005), Weber (2005).”
A joint quantile and expected shortfall regression framework (2017, unknown): “A major drawback of the ES (regarded as a statistical functional) is that it is not elicitable, which means that there exists no loss function (scoring function, scoring rule) which the ES uniquely minimizes in expectation (Gneiting, 2011; Weber, 2006).”
RISK MEASURES ON P(R) AND VALUE AT RISK WITH PROBABILITY/LOSS FUNCTION (2014, unknown): “The approach of considering risk measures defined directly on the set of distribution functions is not new and it was already adopted by Weber (2006).”
CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY (2007, background): “…several authors such as Cvitanic and Karatzas (1999), Wang (1999), Artzner et al. (2004), Cheridito, Delbaen, and Kupper (2004), Frittelli and Rosazza Gianin (2004), Riedel (2004), Frittelli and Scandolo (2006), Cheridito, Delbaen, and Kupper (2006), Weber (2006), and Kloeppel and Schweizer (2006).”
Risk management with expectiles (2017, unknown): “From this point of view, they had been considered in Weber (2006) and by Ben Tal and Teboulle (2007), although the connection with the minimization problem (1) and with the statistical notion of expectiles emerged only in the more recent literature.”
Time-Inconsistency of VaR and Time-Consistent Alternatives (2007, unknown): “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).”
Dynamic risk measures (2010, background): “Both weak acceptance and weak rejection consistency appeared in [35, 40, 41, 43].”
Utility maximization under a shortfall risk constraint (2008, background): “For a detailed description of their properties we refer to Föllmer & Schied (2004), Weber (2006), Dunkel & Weber (2005), and Giesecke, Schmidt & Weber (2005).”