Abstract
This paper introduces the axiom of excess invariance for risk measures, meaning insensitivity to the amount by which a portfolio’s value exceeds a benchmark. Using this axiom, the paper defines the class of shortfall risk measures. Shortfall risk measures are suitable for regulatory or risk management applications in which risk is associated with shortfall beneath a benchmark, whereas excess above the benchmark is not important.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.