{"title":"全动态风险度量：水平风险、时间一致性以及与 BSDE 和 BSVIE 的关系","authors":"Giulia Di Nunno, Emanuela Rosazza Gianin","doi":"10.1137/23m1546804","DOIUrl":null,"url":null,"abstract":"SIAM Journal on Financial Mathematics, Volume 15, Issue 2, Page 399-435, June 2024. <br/> Abstract.In a dynamic framework, we identify a new concept associated with the risk of assessing the financial exposure by a measure that is not adequate to the actual time horizon of the position. This will be called horizon risk. We clarify that dynamic risk measures are subject to horizon risk, so we propose to use the fully dynamic version. To quantify horizon risk, we introduce h-longevity as an indicator. We investigate these notions together with other properties of risk measures, such as normalization, restriction property, and different formulations of time-consistency. We also consider these concepts for fully dynamic risk measures generated by backward stochastic differential equations (BSDEs), backward stochastic Volterra integral equations (BSVIEs), and families of these. Within this study, we provide new results for BSVIEs, such as a converse comparison theorem and the dual representation of the associated risk measures.","PeriodicalId":1,"journal":{"name":"Accounts of Chemical Research","volume":null,"pages":null},"PeriodicalIF":16.4000,"publicationDate":"2024-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Fully Dynamic Risk Measures: Horizon Risk, Time-Consistency, and Relations with BSDEs and BSVIEs\",\"authors\":\"Giulia Di Nunno, Emanuela Rosazza Gianin\",\"doi\":\"10.1137/23m1546804\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"SIAM Journal on Financial Mathematics, Volume 15, Issue 2, Page 399-435, June 2024. <br/> Abstract.In a dynamic framework, we identify a new concept associated with the risk of assessing the financial exposure by a measure that is not adequate to the actual time horizon of the position. This will be called horizon risk. We clarify that dynamic risk measures are subject to horizon risk, so we propose to use the fully dynamic version. To quantify horizon risk, we introduce h-longevity as an indicator. We investigate these notions together with other properties of risk measures, such as normalization, restriction property, and different formulations of time-consistency. We also consider these concepts for fully dynamic risk measures generated by backward stochastic differential equations (BSDEs), backward stochastic Volterra integral equations (BSVIEs), and families of these. Within this study, we provide new results for BSVIEs, such as a converse comparison theorem and the dual representation of the associated risk measures.\",\"PeriodicalId\":1,\"journal\":{\"name\":\"Accounts of Chemical Research\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":16.4000,\"publicationDate\":\"2024-05-21\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Accounts of Chemical Research\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1137/23m1546804\",\"RegionNum\":1,\"RegionCategory\":\"化学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"CHEMISTRY, MULTIDISCIPLINARY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Accounts of Chemical Research","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1137/23m1546804","RegionNum":1,"RegionCategory":"化学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"CHEMISTRY, MULTIDISCIPLINARY","Score":null,"Total":0}
Fully Dynamic Risk Measures: Horizon Risk, Time-Consistency, and Relations with BSDEs and BSVIEs
SIAM Journal on Financial Mathematics, Volume 15, Issue 2, Page 399-435, June 2024. Abstract.In a dynamic framework, we identify a new concept associated with the risk of assessing the financial exposure by a measure that is not adequate to the actual time horizon of the position. This will be called horizon risk. We clarify that dynamic risk measures are subject to horizon risk, so we propose to use the fully dynamic version. To quantify horizon risk, we introduce h-longevity as an indicator. We investigate these notions together with other properties of risk measures, such as normalization, restriction property, and different formulations of time-consistency. We also consider these concepts for fully dynamic risk measures generated by backward stochastic differential equations (BSDEs), backward stochastic Volterra integral equations (BSVIEs), and families of these. Within this study, we provide new results for BSVIEs, such as a converse comparison theorem and the dual representation of the associated risk measures.
期刊介绍：
Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance.
Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.
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