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10

CDC
2008
IEEE

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Maturity-independent risk measures

13 years 11 months ago

Maturity-independent risk measures

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The new notion of maturity-independent risk measures is introduced and contrasted with the existing risk measurement concepts. It is shown, by means of two examples, one set on a ﬁnite probability space and the other in a diﬀusion framework, that, surprisingly, some of the widely utilized risk measures cannot be used to build maturity-independent counterparts. We construct a large class of maturity-independent risk measures and give representative examples in both continuous- and discrete-time ﬁnancial models.

Thaleia Zariphopoulou, Gordan Zitkovic

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CDC 2008 | Control Systems | Maturity-independent Risk Measures | Risk Measurement Concepts | Risk Measures |

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Added	29 May 2010
Updated	29 May 2010
Type	Conference
Year	2008
Where	CDC
Authors	Thaleia Zariphopoulou, Gordan Zitkovic

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