References & Citations
Quantitative Finance > Risk Management
Title: Derivatives of Risk Measures
(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.
Link back to: arXiv, form interface, contact.