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Tail VaR Measures in a Multi-period Setting

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  • Yuta Katsuki
  • Koichi Matsumoto

Abstract

This paper studies a coherent acceptability measure which is a negative coherent risk measure, in a multi-period model. When a coherent acceptability measure changes according to new information in the market, a time consistency plays an important role. The usual strong time consistency gives too severe a multi-period Tail Value at Risk (Tail VaR) from a practical viewpoint. We study a weak type of time consistency and propose new multi-period Tail VaR measures.

Suggested Citation

  • Yuta Katsuki & Koichi Matsumoto, 2014. "Tail VaR Measures in a Multi-period Setting," Applied Mathematical Finance, Taylor & Francis Journals, vol. 21(3), pages 270-297, July.
    • Handle: RePEc:taf:apmtfi:v:21:y:2014:i:3:p:270-297
    DOI: 10.1080/1350486X.2013.851449
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    Cited by:

    1. Landsman, Zinoviy & Makov, Udi & Shushi, Tomer, 2016. "Multivariate tail conditional expectation for elliptical distributions," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 216-223.

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