Dynamic risk measures

Details Dynamic risk measures Dynamic risk measures

2010-02-19

arxiv.org/abs/1002.3794v1

Economy

Quantitative Finance

Risk Management

30 pages

Scientific paper

This paper gives an overview of the theory of dynamic convex risk measures for random variables in discrete time setting. We summarize robust representation results of conditional convex risk measures, and we characterize various time consistency properties of dynamic risk measures in terms of acceptance sets, penalty functions, and by supermartingale properties of risk processes and penalty functions.

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