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Regulator-based risk statistics for portfolios

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  • Xiaochuan Deng
  • Fei Sun

Abstract

Risk statistic is a critical factor not only for risk analysis but also for financial application. However, the traditional risk statistics may fail to describe the characteristics of regulator-based risk. In this paper, we consider the regulator-based risk statistics for portfolios. By further developing the properties related to regulator-based risk statistics, we are able to derive dual representation for such risk.

Suggested Citation

  • Xiaochuan Deng & Fei Sun, 2019. "Regulator-based risk statistics for portfolios," Papers 1904.08829, arXiv.org, revised Jun 2020.
    • Handle: RePEc:arx:papers:1904.08829
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    References listed on IDEAS

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