Cash non-additive risk measures: horizon risk and generalized entropy
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arXiv
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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2024
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| _version_ | 1866911930193543168 |
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| author | Di Nunno, Giulia Gianin, Emanuela Rosazza |
| author_facet | Di Nunno, Giulia Gianin, Emanuela Rosazza |
| contents | Horizon risk (see arXiv:2301.04971) is studied in the context of cash non-additive fully-dynamic risk measures induced by BSDEs. Furthermore, we introduce a risk measure based on generalized Tsallis entropy which can dynamically evaluate the riskiness of losses considering both horizon risk and interest rate uncertainty. The new q-entropic risk measure on losses can be used as a quantification of capital requirement. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2401_14443 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Cash non-additive risk measures: horizon risk and generalized entropy Di Nunno, Giulia Gianin, Emanuela Rosazza Risk Management Probability Horizon risk (see arXiv:2301.04971) is studied in the context of cash non-additive fully-dynamic risk measures induced by BSDEs. Furthermore, we introduce a risk measure based on generalized Tsallis entropy which can dynamically evaluate the riskiness of losses considering both horizon risk and interest rate uncertainty. The new q-entropic risk measure on losses can be used as a quantification of capital requirement. |
| title | Cash non-additive risk measures: horizon risk and generalized entropy |
| topic | Risk Management Probability |
| url | https://arxiv.org/abs/2401.14443 |