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Paper detail

Regulator-based risk statistics with scenario analysis

As regulators pay more attentions to losses rather than gains, we are able to derive a new class of risk statistics, named regulator-based risk statistics with scenario analysis in this paper. This new class of risk statistics can be considered as a kind of risk extension of risk statistics introduced by Kou et al. \cite{11}, and also data-based versions of loss-based risk measures introduced by Cont et al. \cite{5} and Sun et al. \cite{12}.

preprint2020arXivOpen access
Xiaochuan DengFei Sun
q-fin.RMmath.PR
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Xiaochuan DengFei Sun

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