TY - JOUR
T1 - Tail VaR Measures in a Multi-period Setting
AU - Katsuki, Yuta
AU - Matsumoto, Koichi
N1 - Funding Information:
We wish to thank Prof. F. Delbaen, Dr S. Cohen and other participants of Quantitative Methods in Finance Conference 2009, for helpful discussions and comments. We also thank the anonymous referee for useful comments . This research was partially supported by the Ministry of Education, Culture, Sports, Science and Technology, Grant-in-Aid for Young Scientists (B), 19740051, 23740080.
PY - 2014/5
Y1 - 2014/5
N2 - 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.
AB - 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.
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U2 - 10.1080/1350486X.2013.851449
DO - 10.1080/1350486X.2013.851449
M3 - Article
AN - SCOPUS:84902862933
VL - 21
SP - 270
EP - 297
JO - Applied Mathematical Finance
JF - Applied Mathematical Finance
SN - 1350-486X
IS - 3
ER -