Computational dynamic market risk measures in discrete time setting
by Babacar Seck; Robert J. Elliott; Jean-Pierre Gueyie
International Journal of Financial Engineering and Risk Management (IJFERM), Vol. 1, No. 4, 2014

Abstract: Different approaches to defining dynamic market risk measures are available in the literature. Most are focused or derived from probability theory, economic behaviour or dynamic programming. Here, we propose an approach to define and implement dynamic market risk measures based on recursion and state economy representation. The proposed approach is to be implementable and to inherit properties from static market risk measures.

Online publication date: Fri, 31-Oct-2014

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