Computational Determination of Coherence of Financial Risk Measure as a Lower Prevision of Imprecise Probability
Date
2017-05-29
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
ORCID
Type
Thesis
Degree Level
Masters
Abstract
This study is about developing some further ideas in imprecise probability models of financial risk measures. A financial risk measure has been interpreted as an upper prevision of imprecise probability, which through the conjugacy relationship can be seen as a lower prevision. The risk measures selected in the study are value-at-risk (VaR) and conditional value-at-risk (CVaR). The notion of coherence of risk measures is explained. Stocks that are traded in the financial markets (the risky assets) are seen as the gambles. The study makes a determination through computation from actual assets data whether the risk measure assessments of gambles (assets) are coherent as an imprecise probability. It is observed that coherence of assessments depends on the asset's returns distribution characteristic.
Description
Keywords
Imprecise Probability, Lower Prevision, Risk Measure, Coherence
Citation
Degree
Master of Science (M.Sc.)
Department
Mathematics and Statistics
Program
Mathematics