Title: Computational dynamic market risk measures in discrete time setting

Authors: Babacar Seck; Robert J. Elliott; Jean-Pierre Gueyie

Addresses: Department of Mathematics and Statistics, University of Calgary, 2500 University Drive, NW Calgary, AB T2N 1N4, Canada ' Haskayne School of Business, University of Calgary, 2500 University Drive, NW Calgary, AB T2N 1N4, Canada ' Département de Finance, Université du Quebec à Montréal, 315 rue Sainte-Catherine Est, Local R-3555, Montréal, Québec H2X 3X2, Canada

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.

Keywords: dynamic risk measures; Markov chain; market risks; value-at-risk; conditional VAR; discrete time; recursion; state economy representation; risk management.

DOI: 10.1504/IJFERM.2014.065649

International Journal of Financial Engineering and Risk Management, 2014 Vol.1 No.4, pp.334 - 354

Available online: 31 Oct 2014 *

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