Computational dynamic market risk measures in discrete time setting. (4th November 2014)

• Record Type: Journal Article
• Authors: Seck, Babacar; Elliott, Robert J.; Gueyie, Jean–Pierre
• Is Part Of: International journal of financial engineering and risk management. Volume 1:Number 4(2014)
• Page Start: 334
• Page End: 354
• Publication Date: 2014-11-04
• Subjects: dynamic risk measures -- Markov chain -- market risks -- value–at–risk -- conditional VAR -- discrete time -- recursion -- state economy representation -- risk management; Financial engineering -- Periodicals; Finance -- Mathematical models -- Periodicals; 332
• Languages: English
• ISSNs: 2049-0909

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.