Optimal Design of Dynamic Default Risk Measures
نویسندگان
چکیده
منابع مشابه
Optimal Derivatives Design under Dynamic Risk Measures
We develop a methodology to optimally design a financial issue to hedge non-tradable risk on financial markets. Economic agents assess their risk using monetary risk measure. The inf-convolution of convex risk measures is the key transformation in solving this optimization problem. When agents’ risk measures only differ from a risk aversion coefficient, the optimal risk transfer is amazingly eq...
متن کاملOptimal Stopping for Dynamic Convex Risk Measures
We use martingale and stochastic analysis techniques to study a continuous-time optimal stopping problem in which the decision maker uses a dynamic convex risk measure to evaluate future rewards.
متن کاملDynamic coherent risk measures
Banks and regulatory agencies use monetary measures of risk to assess the risk taken by financial investors; important examples are given by the so–called Value at Risk and the class of Coherent Risk Measures. The existing risk measures are of a static, one period nature. In practice, however, portfolios consist, of course, of a variety of different assets and derivatives with distinct maturiti...
متن کاملGeneral Dynamic Term Structures under Default Risk
We consider the problem of modelling the term structure of bonds subject to default risk, under minimal assumptions on the default time. In particular, we do not assume the existence of a default intensity and we therefore allow for the possibility of default at predictable times. It turns out that this requires the introduction of an additional term to the forward-rate approach by Heath, Jarro...
متن کاملOn dynamic measures of risk
In the context of complete nancial markets, we study dynamic measures for the risk associated with a given liability C at time t = T , of the form (x; C) := sup 2D inf ()2A(x) S 0 (T) + : Here x is the initial capital available at time t = 0, A(x) the class of admissible portfolio strategies, S 0 () the price of the risk-free instrument in the market, P = fP g 2D a suitable family of probabilit...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2012
ISSN: 0021-9002,1475-6072
DOI: 10.1239/jap/1354716651