IDEAS home Printed from https://ideas.repec.org/p/arx/papers/1904.11032.html
   My bibliography  Save this paper

Regulator-based risk statistics with scenario analysis

Author

Listed:
  • Xiaochuan Deng
  • Fei Sun

Abstract

As regulators pay more attentions to losses rather than gains, we are able to derive a new class of risk statistics, named regulator-based risk statistics with scenario analysis in this paper. This new class of risk statistics can be considered as a kind of risk extension of risk statistics introduced by Kou et al. \cite{11}, and also data-based versions of loss-based risk measures introduced by Cont et al. \cite{5} and Sun et al. \cite{12}.

Suggested Citation

  • Xiaochuan Deng & Fei Sun, 2019. "Regulator-based risk statistics with scenario analysis," Papers 1904.11032, arXiv.org, revised Jul 2020.
    • Handle: RePEc:arx:papers:1904.11032
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/1904.11032
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    2. Steven Kou & Xianhua Peng & Chris C. Heyde, 2013. "External Risk Measures and Basel Accords," Mathematics of Operations Research, INFORMS, vol. 38(3), pages 393-417, August.
    3. Patrick Cheridito & Tianhui Li, 2009. "Risk Measures On Orlicz Hearts," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 189-214, April.
    4. Hans Föllmer & Alexander Schied, 2002. "Convex measures of risk and trading constraints," Finance and Stochastics, Springer, vol. 6(4), pages 429-447.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Wang, Wei & Xu, Huifu & Ma, Tiejun, 2023. "Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation," European Journal of Operational Research, Elsevier, vol. 306(1), pages 322-347.
    2. Walter Farkas & Pablo Koch-Medina & Cosimo Munari, 2012. "Capital requirements with defaultable securities," Papers 1203.4610, arXiv.org, revised Jan 2014.
    3. Jinwook Lee & András Prékopa, 2015. "Decision-making from a risk assessment perspective for Corporate Mergers and Acquisitions," Computational Management Science, Springer, vol. 12(2), pages 243-266, April.
    4. Steven Kou & Xianhua Peng, 2016. "On the Measurement of Economic Tail Risk," Operations Research, INFORMS, vol. 64(5), pages 1056-1072, October.
    5. Pablo Koch-Medina & Santiago Moreno-Bromberg & Cosimo Munari, 2014. "Capital adequacy tests and limited liability of financial institutions," Papers 1401.3133, arXiv.org, revised Feb 2014.
    6. Daniel Bartl & Samuel Drapeau & Ludovic Tangpi, 2017. "Computational aspects of robust optimized certainty equivalents and option pricing," Papers 1706.10186, arXiv.org, revised Mar 2019.
    7. Hans Rau-Bredow, 2019. "Bigger Is Not Always Safer: A Critical Analysis of the Subadditivity Assumption for Coherent Risk Measures," Risks, MDPI, vol. 7(3), pages 1-18, August.
    8. Guangyan Jia & Jianming Xia & Rongjie Zhao, 2020. "Monetary Risk Measures," Papers 2012.06751, arXiv.org.
    9. Marcelo Brutti Righi, 2019. "A composition between risk and deviation measures," Annals of Operations Research, Springer, vol. 282(1), pages 299-313, November.
    10. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2015. "Shortfall Deviation Risk: An alternative to risk measurement," Papers 1501.02007, arXiv.org, revised May 2016.
    11. Daniel Lacker, 2018. "Liquidity, Risk Measures, and Concentration of Measure," Mathematics of Operations Research, INFORMS, vol. 43(3), pages 813-837, August.
    12. Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2016. "Coherent Pricing," INDEM - Working Paper Business Economic Series 22932, Instituto para el Desarrollo Empresarial (INDEM).
    13. Samuel Drapeau & Michael Kupper, 2013. "Risk Preferences and Their Robust Representation," Mathematics of Operations Research, INFORMS, vol. 38(1), pages 28-62, February.
    14. Kountzakis, C. & Polyrakis, I.A., 2013. "Coherent risk measures in general economic models and price bubbles," Journal of Mathematical Economics, Elsevier, vol. 49(3), pages 201-209.
    15. Daniel Bauer & George Zanjani, 2016. "The Marginal Cost of Risk, Risk Measures, and Capital Allocation," Management Science, INFORMS, vol. 62(5), pages 1431-1457, May.
    16. Chen, Yanhong & Hu, Yijun, 2017. "Set-valued risk statistics with scenario analysis," Statistics & Probability Letters, Elsevier, vol. 131(C), pages 25-37.
    17. Xue Dong He & Hanqing Jin & Xun Yu Zhou, 2015. "Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR," Mathematics of Operations Research, INFORMS, vol. 40(3), pages 773-796, March.
    18. Xiaochuan Deng & Fei Sun, 2019. "Regulator-based risk statistics for portfolios," Papers 1904.08829, arXiv.org, revised Jun 2020.
    19. Daniel Bartl & Ludovic Tangpi, 2020. "Non-asymptotic convergence rates for the plug-in estimation of risk measures," Papers 2003.10479, arXiv.org, revised Oct 2022.
    20. Farkas, Walter & Koch-Medina, Pablo & Munari, Cosimo, 2014. "Capital requirements with defaultable securities," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 58-67.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1904.11032. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.