Time-inconsistency of VaR and time-consistent alternatives

被引：44
作者：
Cheridito, Patrick [1 ]
Stadje, Mitja [1 ]
机构：
[1] Princeton Univ, ORFE, Princeton, NJ 08544 USA
来源：
FINANCE RESEARCH LETTERS | 2009年 / 6卷 / 01期
关键词：
Value-at-Risk; Time-consistency; Composed Value-at-Risk; Composed average Value-at-Risk; VALUE-AT-RISK;
D O I：
10.1016/j.frl.2008.10.002
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We show that VaR (Value-at-Risk) is not time-consistent and discuss examples where this can lead to dynamically inconsistent behavior. Then we propose two time-consistent alternatives to VaR. The first one is a composition of one-period VaR's. It is time-consistent but not coherent. The second one is a composition of average VaR's. It is a time-consistent coherent risk measure. (C) 2008 Elsevier Inc. All rights reserved.
引用
收藏
页码：40 / 46
页数：7
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