Characterization and Construction of Sequentially Consistent Risk Measures

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Bignozzi, V.; Tsanakas, A.;
(2013)
  • Publisher: SSRN
  • Subject: HD61

In dynamic risk measurement the problem emerges of assessing the risk of a financial position at different times. Sufficient conditions are provided for conditional coherent risk measures, in order that the requirements of acceptance, rejection and sequential consistenc... View more
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