In this paper we propose a generalization of the concepts of convex and coherent risk measures to a multiperiod setting, in which payoffs are spread over different dates. To this end, a careful examination of the axiom of translation invariance and the related concept of capital requirement in the one-period model is performed. These two issues are then suitably extended to the multiperiod case, in a way that makes their operative financial meaning clear. A characterization in terms of expected values is derived for this class of risk measures and some examples are presented

Risk measures and capital requirements for processes

SCANDOLO, Giacomo;
2006-01-01

Abstract

In this paper we propose a generalization of the concepts of convex and coherent risk measures to a multiperiod setting, in which payoffs are spread over different dates. To this end, a careful examination of the axiom of translation invariance and the related concept of capital requirement in the one-period model is performed. These two issues are then suitably extended to the multiperiod case, in a way that makes their operative financial meaning clear. A characterization in terms of expected values is derived for this class of risk measures and some examples are presented
2006
risk measures; cash flows; time consistence
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11562/375012
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