Regulator-Based Risk Statistics for Portfolios-Reference-Cited by-同舟云学术

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Regulator-Based Risk Statistics for Portfolios

Published:2020-07-09 Issue: Volume:2020 Page:1-6
ISSN:1026-0226
Container-title:Discrete Dynamics in Nature and Society
language:en
Short-container-title:Discrete Dynamics in Nature and Society

Author:

Deng Xiaochuan¹,Sun Fei²^ORCID

Affiliation:

1. School of Economics and Management, Wuhan University, Wuhan 430072, China

2. School of Mathematics and Computational Science, Wuyi University, Jiangmen 529020, China

Abstract

Risk statistic is a critical factor not only for risk analysis but also for financial application. However, the traditional risk statistics may fail to describe the characteristics of regulator-based risk. In this paper, we consider the regulator-based risk statistics for portfolios. By further developing the properties related to regulator-based risk statistics, we are able to derive dual representation for such risk.

Funder

Department of Education of Guangdong Province

Publisher

Hindawi Limited

Subject

Modelling and Simulation

Link

http://downloads.hindawi.com/journals/ddns/2020/7015267.pdf

Reference23 articles.

1. External Risk Measures and Basel Accords

2. A note on natural risk statistics

3. Quasiconvex risk statistics with scenario analysis

4. A note on convex risk statistic

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Complex Risk Statistics with Scenario Analysis;Complexity;2021-07-02

2. Regulator-Based Risk Statistics with Scenario Analysis;Mathematical Problems in Engineering;2021-03-31

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