Multi-asset risk measures.

We study risk measures for financial positions in a multi-asset setting,
representing the minimum amount of capital to raise and invest in eligible
portfolios of traded assets in order to meet a prescribed acceptability
constraint. We investigate finiteness and continuity properties of these
multi-asset risk measures, highlighting the interplay between the acceptance
set and the class of eligible portfolios. We develop a new approach to dual
representations of convex multi-asset risk measures which relies on a
characterization of the structure of closed convex acceptance sets. To avoid
degenerate cases we need to ensure the existence of extensions of the
underlying pricing functional which belong to the effective domain of the
support function of the chosen acceptance set. We provide a characterization of
when such extensions exist. Finally, we discuss applications to conical market
models and set-valued risk measures, optimal risk sharing, and super-hedging
with shortfall risk.

Advertisements

About sahriskmanager

I have worked as a Head of Risk and a risk culture builder at both Asset Management and Commercial Banking Institutions within and outside of Pakistan. Over the years I have developed exhaustive understanding of risks that exist in both Sharia and Conventional Finance related Investments and Financing/Lending Products. I have invaluable experiences to share with respect to setting up and restructuring of Financial Risk Management Departments at Islamic Banks and Asset Management Firms . This includes developing policy and procedure manuals, recruiting of staff, imparting Risk Trainings and preparing the entire SDI (System, Design & Installation) work-flow frameworks for the department itself. What I shall post on these blog pages are my personal experiences, global risk management issues and academic interests which I would like to share with academicians, students and practitioners of FRM - Financial Risk Management all over the world.
Link | This entry was posted in Uncategorized and tagged , , , , , , , , , , . Bookmark the permalink.

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s