Derivatives of Risk Measures

2024/04/15 by Gankhuu, Battulga
#FOS: Economics and business #Risk Management (q-fin.RM)

paper · doi:10.48550/arxiv.2404.09646

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.

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