Beyond Value-at-Risk : GlueVaR Distortion Risk Measures
| Resumo |
We propose a new family of risk measures, called GlueVaR, within the class of distortion risk measures. Analytical closed-form expressions are shown for the most frequently used distribution functions in financial and insurance applications. The relationship between Glue-VaR, Value-at-Risk (VaR) and Tail Value-at-Risk (TVaR) is explained. Tail-subadditivity is investigated and it is shown that some GlueVaR risk measures satisfy this property. An interpretation in terms of risk attitudes is provided and a discussion is given on the applicability in non-financial problems such as health, safety, environmental or catastrophic risk management |
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| Identificador | |
| Idioma(s) |
eng |
| Publicador |
Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública |
| Direitos |
cc-by-nc-nd, (c) Belles Sampera et al., 2013 info:eu-repo/semantics/openAccess <a href="http://creativecommons.org/licenses/by-nc-nd/3.0/">http://creativecommons.org/licenses/by-nc-nd/3.0/</a> |
| Palavras-Chave | #Bancs #Comptabilitat #Obligacions (Finances) #Risc (Economia) #Borsa de valors #Mercat de futurs #Banks #Accounting #Bonds #Risk #Stock-exchange #Futures market |
| Tipo |
info:eu-repo/semantics/workingPaper |
