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Regulator-based risk statistics with scenario analysis

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  • Xiaochuan Deng
  • Fei Sun

Abstract

As regulators pay more attentions to losses rather than gains, we are able to derive a new class of risk statistics, named regulator-based risk statistics with scenario analysis in this paper. This new class of risk statistics can be considered as a kind of risk extension of risk statistics introduced by Kou et al. \cite{11}, and also data-based versions of loss-based risk measures introduced by Cont et al. \cite{5} and Sun et al. \cite{12}.

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  • Xiaochuan Deng & Fei Sun, 2019. "Regulator-based risk statistics with scenario analysis," Papers 1904.11032, arXiv.org, revised Jul 2020.
    • Handle: RePEc:arx:papers:1904.11032
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    1. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    2. Steven Kou & Xianhua Peng & Chris C. Heyde, 2013. "External Risk Measures and Basel Accords," Mathematics of Operations Research, INFORMS, vol. 38(3), pages 393-417, August.
    3. Patrick Cheridito & Tianhui Li, 2009. "Risk Measures On Orlicz Hearts," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 189-214, April.
    4. Hans Föllmer & Alexander Schied, 2002. "Convex measures of risk and trading constraints," Finance and Stochastics, Springer, vol. 6(4), pages 429-447.
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