Beyond Value-at-Risk : GlueVaR Distortion Risk Measures

Vista senzilla d'ítem
dc.contributor.authorBelles Sampera, Jaume
dc.contributor.authorGuillén, Montserrat
dc.contributor.authorSantolino, Miguel
dc.date.accessioned2014-09-23T16:46:51Z
dc.date.available2014-09-23T16:46:51Z
dc.date.issued2013
dc.date.updated2014-09-23T16:46:51Z
dc.description.abstractWe 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
dc.format.extent38 p.
dc.format.mimetypeapplication/pdf
dc.identifier.issn2014-1254
dc.identifier.urihttps://hdl.handle.net/2445/57590
dc.language.isoeng
dc.publisherUniversitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública
dc.relation.isformatofReproducció del document publicat a: http://www.ub.edu/irea/working_papers/2013/201302.pdf
dc.relation.ispartofIREA – Working Papers, 2013, IR13/02
dc.relation.ispartofseries[WP E-IR13/02]
dc.rightscc-by-nc-nd, (c) Belles Sampera et al., 2013
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/
dc.sourceDocuments de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))
dc.subject.classificationBancs
dc.subject.classificationComptabilitat
dc.subject.classificationObligacions (Finances)
dc.subject.classificationRisc (Economia)
dc.subject.classificationBorsa de valors
dc.subject.classificationMercat de futurs
dc.subject.otherBanks
dc.subject.otherAccounting
dc.subject.otherBonds
dc.subject.otherRisk
dc.subject.otherStock-exchange
dc.subject.otherFutures market
dc.titleBeyond Value-at-Risk : GlueVaR Distortion Risk Measures
dc.typeinfo:eu-repo/semantics/workingPaper

Fitxers

Paquet original

Mostrant 1 - 1 de 1
Miniatura
Nom:
IR13-002_Belles-Sampera.pdf
Mida:
825.5 KB
Format:
Adobe Portable Document Format
Descarregar

Col·leccions

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