We extend the definition of a convex risk measure to a conditionalframework where additional information is available. We characterize these riskmeasures through the associated acceptance sets and prove a representationresult in terms of conditional expectations. As an example we consider the...

We extend the definition of a convex risk measure to a conditional framework where additional information is available. We characterize these risk measures through the associated acceptance sets and prove a representation result in terms of conditional expectations. As an example we consider the...

SFB 649 Discussion Paper 2005-006 Conditional and Dynamic Convex Risk Measures Kai Detlefsen* Giacomo Scandolo** * CASE - Center of Applied Statistics and Economics, Humboldt-Universität zu Berlin, Germany ** Department of Mathematics for Economic Decisions,...

We discuss liquidity risk from a pure risk-theoretical point of view in the axiomatic context of coherent measures of risk. We propose a formalism for liquidity risk that is compatible with the axioms of coherency. We emphasize the difference between 'coherent risk measures' (CRM) ρ(X ) defined...

We extend the definition of a convex risk measure to a conditional framework where additional information is available. We characterize these risk measures through the associated acceptance sets and prove a representation result in terms of conditional expectations. A suitable regularity...

Model risk has a huge impact on any risk measurement procedure and its quantification is therefore a crucial step. In this paper, we introduce three quantitative measures of model risk when choosing a particular reference model within a given class: the absolute measure of model risk, the...