RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
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DOI：
10.1111/j.1467-9965.2006.00285.x
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发表时间：
2006-08
影响因子：
1.6
通讯作者：
M. Frittelli;Giacomo Scandolo
中科院分区：
文献类型：
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作者：
M. Frittelli;Giacomo Scandolo
在本文中，我们提出了凸和连贯风险度量的概念推广到多期设置，其中收益分布在不同的日期。为此，对平移不变性公理和单期模型中资本要求的相关概念进行了仔细的检查。然后将这两个问题适当地扩展到多期情况，以使其有效的财务意义清楚。本文导出了这类风险度量的期望值表征，并给出了一些例子。
In this paper we propose a generalization of the concepts of convex and coherent risk measures to a multiperiod setting, in which payoffs are spread over different dates. To this end, a careful examination of the axiom of translation invariance and the related concept of capital requirement in the one‐period model is performed. These two issues are then suitably extended to the multiperiod case, in a way that makes their operative financial meaning clear. A characterization in terms of expected values is derived for this class of risk measures and some examples are presented.