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Time consistency of multi-period distortion measures

Author

Listed:
  • Fasen Vicky

    (ETH Zürich, RiskLab, Zürich, Schweiz)

  • Svejda Adela

Abstract

Dynamic risk measures play an important role for the acceptance or non-acceptance of risks in a bank portfolio. Dynamic consistency and weaker versions like conditional and sequential consistency guarantee that acceptability decisions remain consistent in time. An important set of static risk measures are so-called distortion measures. We extend these risk measures to a dynamic setting within the framework of the notions of consistency as above. As a prominent example, we present the Tail-Value-at-Risk (TVaR).

Suggested Citation

  • Fasen Vicky & Svejda Adela, 2012. "Time consistency of multi-period distortion measures," Statistics & Risk Modeling, De Gruyter, vol. 29(2), pages 133-153, June.
    • Handle: RePEc:bpj:strimo:v:29:y:2012:i:2:p:133-153:n:2
    DOI: 10.1524/strm.2012.1115
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    References listed on IDEAS

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    Cited by:

    1. Föllmer Hans, 2014. "Spatial risk measures and their local specification: The locally law-invariant case," Statistics & Risk Modeling, De Gruyter, vol. 31(1), pages 1-23, March.

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