Derivatives of Risk Measures
Fuente:
arXiv
Guardado en:
| Autor principal: | |
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| Formato: | Preprint |
| Publicado: |
2024
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| Materias: | |
| Acceso en línea: | |
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| _version_ | 1866929456797450240 |
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| author | Gankhuu, Battulga |
| author_facet | Gankhuu, Battulga |
| contents | This paper provides the first and second order derivatives of any risk measures, including VaR and ES for continuous and discrete portfolio loss random variable variables. Also, we give asymptotic results of the first and second order conditional moments for heavy-tailed portfolio loss random variable. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2404_09646 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Derivatives of Risk Measures Gankhuu, Battulga Risk Management This paper provides the first and second order derivatives of any risk measures, including VaR and ES for continuous and discrete portfolio loss random variable variables. Also, we give asymptotic results of the first and second order conditional moments for heavy-tailed portfolio loss random variable. |
| title | Derivatives of Risk Measures |
| topic | Risk Management |
| url | https://arxiv.org/abs/2404.09646 |