{"title":"风险度量的衍生工具","authors":"Battulga Gankhuu","doi":"arxiv-2404.09646","DOIUrl":null,"url":null,"abstract":"This paper provides the first and second order derivatives of any risk\nmeasures, including VaR and ES for continuous and discrete portfolio loss\nrandom variable variables. Also, we give asymptotic results of the first and\nsecond order conditional moments for heavy--tailed portfolio loss random\nvariable.","PeriodicalId":501128,"journal":{"name":"arXiv - QuantFin - Risk Management","volume":"27 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Derivatives of Risk Measures\",\"authors\":\"Battulga Gankhuu\",\"doi\":\"arxiv-2404.09646\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper provides the first and second order derivatives of any risk\\nmeasures, including VaR and ES for continuous and discrete portfolio loss\\nrandom variable variables. Also, we give asymptotic results of the first and\\nsecond order conditional moments for heavy--tailed portfolio loss random\\nvariable.\",\"PeriodicalId\":501128,\"journal\":{\"name\":\"arXiv - QuantFin - Risk Management\",\"volume\":\"27 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-04-15\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - QuantFin - Risk Management\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2404.09646\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Risk Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2404.09646","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
摘要
本文提供了任何风险度量的一阶和二阶导数，包括连续和离散投资组合损失随机变量的 VaR 和 ES。此外，我们还给出了重尾投资组合损失随机变量的一阶和二阶条件矩的渐近结果。
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.
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号
