Regulator-Based Risk Statistics for Portfolios
/ Authors
/ 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.
Journal: arXiv: Risk Management
DOI: 10.1155/2020/7015267