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Computational Dynamic Market Risk Measures in Discrete Time Setting

Different approaches to defining dynamic market risk measures are available in the literature. Most are focused or derived from probability theory, economic behavior or dynamic programming. Here, we propose an approach to define and implement dynamic market risk measures based on recursion and state economy representation. The proposed approach is to be implementable and to inherit properties from static market risk measures.

preprint2013arXivOpen access
Babacar SeckRobert J. ElliottJean-Pierre Gueyie
q-fin.RM
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Open access3 authors1 topic
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Citations: 0Reviews: 0Saves: 0Code: not linkedDataset: not linkedInstitutions: 0

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Babacar SeckRobert J. ElliottJean-Pierre Gueyie

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