Approximation of market valuations on the set of risk measures

• Autorzy: Tkaliński T.
• Języki publikacji: EN

Abstrakty

EN

In this work we introduce the problem of choice of a risk measure providing best approximation of risk estimates derived from market valuations. We begin with a brief overview of connections between pricing and risk measurement issues which reveal importance of the problem we consider and lead to the mathematical formulation. In the main result under fairly general assumptions we establish the existence of the solution. In the second part we define a problem of finding a risk measure optimal with respect to the capital requirements. We impose additional assumptions, all of which have strong practical justification and in this particular setting we show that a solution exists and is a spectral measure of risk. As an example of application we show that there is some optimal spectral measure of risk for speculative position created in a market model with CIR short rate dynamics.

Słowa kluczowe

EN

approximation; CIR model

PL

aproksymacja; model CIR

• Wydawca: De Gruyter
• Czasopismo: Demonstratio Mathematica
• Rocznik: 2009
• Tom: Vol. 42, nr 2
• Strony: 441--452
• Opis fizyczny: Bibliogr. 11 poz.

Twórcy

autor

Tkaliński T.

• Faculty of Mathematics, Informatics and Mechanics University of Warsaw ul. Banacha 2, 02-097 Warszawa, Poland,

Bibliografia

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• [11] G. Szego, Risk Measures for the 21 Century, John Wiley & Sons, 2004.