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Title Computational Determination of Coherence of Financial Risk Measure as a Lower Prevision of Imprecise Probability
Publication Date
Date Available
University/Publisher University of Saskatchewan
Abstract This study is about developing some further ideas in imprecise probability models of financial risk measures. A financial risk measure has been interpreted as an upper prevision of imprecise probability, which through the conjugacy relationship can be seen as a lower prevision. The risk measures selected in the study are value-at-risk (VaR) and conditional value-at-risk (CVaR). The notion of coherence of risk measures is explained. Stocks that are traded in the financial markets (the risky assets) are seen as the gambles. The study makes a determination through computation from actual assets data whether the risk measure assessments of gambles (assets) are coherent as an imprecise probability. It is observed that coherence of assessments depends on the asset's returns distribution characteristic.
Subjects/Keywords Imprecise Probability, Lower Prevision, Risk Measure, Coherence
Contributors Bickis, Mikelis; Samei, Ebrahim; Li, Longhai; Wilson, Craig
Country of Publication ca
Format application/pdf
Record ID handle:10388/7889
Other Identifiers TC-SSU-7889
Repository sask
Date Retrieved
Date Indexed 2018-12-06

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