Loss-Based Risk Measures
AbstractStarting from the requirement that risk measures of financial portfolios should be based on their losses, not their gains, we define the notion of loss-based risk measure and study the properties of this class of risk measures. We characterize loss-based risk measures by a representation theorem and give examples of such risk measures. We then discuss the statistical robustness of estimators of loss-based risk measures: we provide a general criterion for qualitative robustness of risk estimators and compare this criterion with sensitivity analysis of estimators based on influence functions. Finally, we provide examples of statistically robust estimators for loss-based risk measures.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1110.1436.
Date of creation: Oct 2011
Date of revision: Apr 2013
Publication status: Published in Statistics and Risk Modeling, Vol 30, 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-10-15 (All new papers)
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