Regulator-based risk statistics for portfolios

Xiaochuan Deng and Fei Sun

Abstract: Risk statistic is a critical factor not only for risk analysis but also for financial application. However, the traditional risk statistics may fail to describe the characteristics of regulator-based risk. In this paper, we consider the regulator-based risk statistics for portfolios. By further developing the properties related to regulator-based risk statistics, we are able to derive dual representation for such risk.

Date: 2019-04, Revised 2020-06
New Economics Papers: this item is included in nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1904.08829

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