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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 |
| Series/Report no: | [WP E-IR13/02] |
| 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, IR13/02 |
| 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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| File | Description | Size | Format | |
|---|---|---|---|---|
| IR13-002_Belles-Sampera.pdf | 825.5 kB | Adobe PDF | View/Open |
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