Strongly consistent multivariate conditional risk measures-Reference-Cited by-同舟云学术

Strongly consistent multivariate conditional risk measures

Published:2018-01-11 Issue:3 Volume:12 Page:413-444
ISSN:1862-9679
Container-title:Mathematics and Financial Economics
language:en
Short-container-title:Math Finan Econ

Author:

Hoffmann Hannes,Meyer-Brandis Thilo,Svindland Gregor^ORCID

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Finance,Statistics and Probability

Link

http://link.springer.com/article/10.1007/s11579-017-0210-3/fulltext.html

Reference24 articles.

1. Acciaio, B., Penner, I.: Dynamic risk measures. In: Nunno, J.Di, Øksendal, B. (eds.) Advanced Mathematical Methods for Finance, Chapter 1, pp. 11–44. Springer, Berlin (2011)

2. Acharya, V., Pedersen, L., Philippon, T., Richardson, M.: Measuring systemic risk. Available at SSRN 1573171 (2010)

3. Adrian, T., Brunnermeier, M.K.: CoVaR. Technical report, National Bureau of Economic Research (2011)

4. Bion-Nadal, J.: Dynamic risk measures: time consistency and risk measures from BMO martingales. Finance Stoch. 12(2), 219–244 (2008)

5. Brunnermeier, M.K., Cheridito, P.: Measuring and allocating systemic risk. Available at SSRN 2372472 (2014)

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