A Proposal to Measure Operational Risk Dynamically and Coherently
DOI:
https://doi.org/10.29201/peipn.v8i15.281Keywords:
dynamic risk measure, coherent risk measure, binomial treeAbstract
The purpose of this paper is to propose a dynamic theoretical framework to calculate a coherent set of Values at Risk for various periods through an incremental stochastic process. It uses the topology of a decision tree to characterized the possible states of the process and compute their probabilities. The states form a coherent set of acceptance of "Values at Risk" representing a closed convex cone. Unlike the static models for a single period, the proposed dynamic model allows the decision maker to have dynamic information on the maximum expected loss from an investment portfolio or strategy, and thus to determine the minimum capital requirement.
Downloads
References
Artzner, P., F. Delbaen, J. Eber J. y D. Heath (1998), "Coherent Measures of Risk", manuscript, Université Louis Pasteur.
Artzner, P., F. Delbaen, J. Eber, D. Heath y H. Ku (2007), Coherent Multiperiod Risk Adjusted Values and Bellman's Principle, Annals of Operations Research, vol. 152, núm. 1, pp. 5-22.
Bion-Nadal, J. (2004), Conditional Risk Measure and Robust Representation of Convex Conditional Risk Measures, Preprint CMAP 557.
Delbaen, F. (2006), "The Structure of m-Stable Sets and in Particular of the Set of Risk Neutral Measures", Seminaire de Probabilités XXXIX, Lecture Notes in Mathematics 1874, pp. 215-258.
Detlefsen, K. y G. Scandolo (2005), "Conditional and Dynamic Convex Risk Measures", Finance and Stochastics, vol. 9, pp. 539-561.
Riedel, F. (2004), "Dynamic Coherent Risk Measures", Stochastic Processes and their Applications, vol. 112, núm. 2, pp. 185-200.
Frittelli, M. y G. E. Rosazza (2004), "Dynamic Convex Risk Measures", Risk Measures for the 21st Century, Capítulo 12, Wiley Finance.
Kloppel, S. y M. Schweizer (2007), Dynamic Utility Indifference Valuation Via Convex Risk Measures, Math. Finance, vol. 17, núm. 4, pp. 599-627.
Venegas-Martínez, F. (2008), Riesgos Financieros y Económicos, 2da. Edición, Cengage.
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2025 Panorama Económico
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
