Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/57590
Title: Beyond Value-at-Risk : GlueVaR Distortion Risk Measures
Author: Belles Sampera, Jaume
Guillén, Montserrat
Santolino, Miguel
Keywords: Bancs
Comptabilitat
Obligacions (Finances)
Risc (Economia)
Borsa de valors
Mercat de futurs
Banks
Accounting
Bonds
Risk
Stock-exchange
Futures market
Issue Date: 2013
Publisher: Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública
Abstract: We propose a new family of risk measures, called GlueVaR, within the class of distortion risk measures. Analytical closed-form expressions are shown for the most frequently used distribution functions in financial and insurance applications. The relationship between Glue-VaR, Value-at-Risk (VaR) and Tail Value-at-Risk (TVaR) is explained. Tail-subadditivity is investigated and it is shown that some GlueVaR risk measures satisfy this property. An interpretation in terms of risk attitudes is provided and a discussion is given on the applicability in non-financial problems such as health, safety, environmental or catastrophic risk management
Note: Reproducció del document publicat a: http://www.ub.edu/irea/working_papers/2013/201302.pdf
It is part of: IREA – Working Papers, 2013, IR13/002
URI: http://hdl.handle.net/2445/57590
ISSN: 2014-1254
Appears in Collections:Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

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