Models of Capital Requirements in Static and Dynamic Settings
Author
Abstract
Suggested Citation
Download full text from publisher
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- M. Kaina & L. Rüschendorf, 2009. "On convex risk measures on L p -spaces," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 475-495, July.
- Zachary Feinstein & Birgit Rudloff, 2018. "Time consistency for scalar multivariate risk measures," Papers 1810.04978, arXiv.org, revised Nov 2021.
- Zachary Feinstein & Birgit Rudloff, 2018. "Scalar multivariate risk measures with a single eligible asset," Papers 1807.10694, arXiv.org, revised Feb 2021.
- Walter Farkas & Pablo Koch-Medina & Cosimo Munari, 2013. "Measuring risk with multiple eligible assets," Papers 1308.3331, arXiv.org, revised Mar 2014.
- Laudagé, Christian & Sass, Jörn & Wenzel, Jörg, 2022. "Combining multi-asset and intrinsic risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 254-269.
- A. Jobert & L. C. G. Rogers, 2008.
"Valuations And Dynamic Convex Risk Measures,"
Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 1-22, January.
- A. Jobert & L. C. G. Rogers, 2007. "Valuations and dynamic convex risk measures," Papers 0709.0232, arXiv.org.
- Marco Frittelli & Giacomo Scandolo, 2006. "Risk Measures And Capital Requirements For Processes," Mathematical Finance, Wiley Blackwell, vol. 16(4), pages 589-612, October.
- Sascha Desmettre & Christian Laudagé & Jörn Sass, 2020. "Good-Deal Bounds for Option Prices under Value-at-Risk and Expected Shortfall Constraints," Risks, MDPI, vol. 8(4), pages 1-22, October.
- Castaneda, Pablo, 2006.
"Long Term Risk Assessment in a Defined Contribution Pension System,"
MPRA Paper
3347, University Library of Munich, Germany, revised 30 Apr 2007.
- Pablo Castañeda, 2007. "Long Term Risk Assessment in a Defined Contribution Pension System," Working Papers 20, Superintendencia de Pensiones, revised Oct 2007.
- Andreas H. Hamel & Frank Heyde, 2021. "Set-Valued T -Translative Functions and Their Applications in Finance," Mathematics, MDPI, vol. 9(18), pages 1-33, September.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:ecnote:v:33:y:2004:i:3:p:415-435. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no bibliographic references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley-Blackwell Digital Licensing or Christopher F. Baum (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0391-5026 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.