Tail VaR Measures in a Multi-period Setting

Yuta Katsuki, Koichi Matsumoto

Research output: Contribution to journalArticle

1 Citation (Scopus)

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.

Original languageEnglish
Pages (from-to)270-297
Number of pages28
JournalApplied Mathematical Finance
Volume21
Issue number3
DOIs
Publication statusPublished - Jan 1 2014

All Science Journal Classification (ASJC) codes

  • Finance
  • Applied Mathematics

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