Risk measures and capital requirements for processes

Mathematical Finance

Volumn 16, Issue 4, 2006, Pages 589-612

  Frittelli, Marco ^a   Scandolo, Giacomo ^a  

^a UNIVERSITY OF FLORENCE   (Italy)

Author keywords

Convex risk measure; Credit constraint; Dual representation; General capital requirement; Risk measure for processes

Indexed keywords

EID: 33748288101     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2006.00285.x     Document Type: Article

References (19)

1. ARTZNER, P., F. DELBAEN, J. M. EBER, and D. HEATH (1999): Coherent Measures of Risk, Math. Finance 9(3), 203-228.
2. ARTZNER, P., F. DELBAEN, J. M. EBER, D. HEATH, and H. KU (2004): Coherent Multiperiod Risk Adjusted Values and Bellman's Principle, Working Paper, ETH Zürich (first version 2002).
3. BARRIEU, P., and N. EL KAROUI (2005): Inf-convolution of Risk Measures and Optimal Risk Transfer, Finance Stoch. 9(2), 269-298.
4. BRACHINGER, H. W., and M. WEBER (1997): Risk as a Primitive: A Survey of Measures of Perceived Risk, OR-Spektrum 19(3), 235-250.
5. CARR, P., H. GEMAN, and D. B. MADAN (2001): Pricing and Hedging in Incomplete Markets, J. Financial Econ. 62, 131-167.
6. CHERIDITO, P., F. DELBAEN, and M. KUPPER (2004): Coherent and Convex Risk Measures for Bounded Càdlàg Processes, Stoch. Proc. Appl. 112(1), 1-22.
7. CHERIDITO, P., F. DELBAEN, and M. KUPPER (2005): Coherent and Convex Monetary Risk Measures for Unbounded Càdlàg Processes, Finance Stoch. 9(3), 369-387.
8. DE FINETTI, B. (1931): Sul Concetto di Media, Giornale degli Economisti 2.
9. DELBAEN, F. (2002): Coherent Measures of Risk on General Probability Spaces, in Advances in Finance and Stochastics, K. Sandmann and P. J. Schönbucher, eds. Berlin: Springer-Verlag.
10. FÖLLMER, H., and A. SCHIED (2002): Convex Measures of Risk and Trading Constraints, Finance Stoch. 6(4), 429-447.
11. FÖLLMER, H., and A. SCHIED (2004): Stochastic Finance. An Introduction in Discrete Time, 2nd ed. Berlin: de Gruyter.
12. FRITTELLI, M., and E. ROSAZZA GIANIN (2002): Putting Order in Risk Measures, J. Bank. Finance 26, 1473-1486.
13. PFLUG, G., and A. RUSZCZYNSKI (2001): A Risk Measure for Income Streams, Working Paper, University of Vienna.
14. RIEDEL, F. (2004): Dynamic Coherent Risk Measures, Stoch. Proc. Appl. 112, 185-200.
15. ROCKAFELLAR, R. T. (1970): Convex Analysis. Princeton: Princeton University Press.
16. SCANDOLO, G. (2004): Models of Capital Requirements in Static and Dynamic Settings, Economic Notes 33, 415-435.
17. STAUM, J. (2004): Fundamental Theorems of Asset Pricing for Good Deal Bounds, Math Finance 14, 141-161.
18. WEBER, S. (2006): Distribution-Invariant Dynamic Risk Measures, Information, and Dynamic Consistency, Math. Finance 16(2), 419-442.
19. WANG, T. (1999): A Class of Dynamic Risk Measures, Working Paper, University of British Columbia.