We gratefully acknowledge support from
the Simons Foundation and member institutions.
Full-text links:

Download:

Current browse context:

q-fin.RM
< prev | next >
new | recent | 2404

Change to browse by:

q-fin

References & Citations

Bookmark

(what is this?)
CiteULike logo BibSonomy logo Mendeley logo del.icio.us logo Digg logo Reddit logo

Quantitative Finance > Risk Management

Title: Derivatives of Risk Measures

Authors: Battulga Gankhuu
(Submitted on 15 Apr 2024)
Abstract: This paper provides the first and second order derivatives of any risk measures, including VaR and ES for continuous and discrete portfolio loss random variable variables. Also, we give asymptotic results of the first and second order conditional moments for heavy--tailed portfolio loss random variable.
Subjects: Risk Management (q-fin.RM)
Cite as: arXiv:2404.09646 [q-fin.RM]
  (or arXiv:2404.09646v1 [q-fin.RM] for this version)

Submission history

From: Battulga Gankhuu [view email]
[v1] Mon, 15 Apr 2024 10:25:10 GMT (24kb)
Which authors of this paper are endorsers? | Disable MathJax (What is MathJax?)

Link back to: arXiv, form interface, contact.