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IR13-002_Belles-Sampera.pdf (825.5 KB)

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Working paper

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2013

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cc-by-nc-nd, (c) Belles Sampera et al., 2013
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/57590

Beyond Value-at-Risk : GlueVaR Distortion Risk Measures

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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

Subject

Bancs, Comptabilitat, Obligacions (Finances), Risc (Economia), Borsa de valors, Mercat de futurs

Subject (English)

Banks, Accounting, Bonds, Risk, Stock-exchange, Futures market

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Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

Citation

BELLES SAMPERA, Jaume, GUILLÉN, Montserrat and SANTOLINO, Miguel. Beyond Value-at-Risk : GlueVaR Distortion Risk Measures. IREA – Working Papers. 2013. Vol.  IR13/02. ISSN 2014-1254. [consulted: 20 of August of 2026]. Available at: https://hdl.handle.net/2445/57590

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