Risk Measures on $\mathcal{P}(\mathbb{R})$ and Ambiguity for the Value At Risk: $ΛV@R$

Details Risk Measures on $\mathcal{P}(\mathbb{R})$ and Ambiguity for the Value At Risk: $ΛV@R$ Risk Measures on $\mathcal{P}(\mathbb{R})$ and Ambiguity for the Value At Risk: $ΛV@R$

2012-01-11

arxiv.org/abs/1201.2257v2

Economy

Quantitative Finance

Risk Management

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Scientific paper

We propose a generalization of the classical notion of the $V@R_{\lambda}$ that takes into account not only the probability of the losses, but the balance between such probability and the amount of the loss. This is obtained by defining a new class of law invariant risk measures based on an appropriate family of acceptance sets. The $V@R_{\lambda}$ and other known law invariant risk measures turn out to be special cases of our proposal.

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