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Computational Dynamic Market Risk Measures in Discrete Time Setting

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  • Babacar Seck
  • Robert J. Elliott
  • Jean-Pierre Gueyie

Abstract

Different approaches to defining dynamic market risk measures are available in the literature. Most are focused or derived from probability theory, economic behavior or dynamic programming. Here, we propose an approach to define and implement dynamic market risk measures based on recursion and state economy representation. The proposed approach is to be implementable and to inherit properties from static market risk measures.

Suggested Citation

  • Babacar Seck & Robert J. Elliott & Jean-Pierre Gueyie, 2013. "Computational Dynamic Market Risk Measures in Discrete Time Setting," Papers 1306.5705, arXiv.org.
    • Handle: RePEc:arx:papers:1306.5705
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    References listed on IDEAS

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    4. repec:dau:papers:123456789/361 is not listed on IDEAS
    5. Stadje, Mitja, 2010. "Extending dynamic convex risk measures from discrete time to continuous time: A convergence approach," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 391-404, December.
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