Beyond Value-at-Risk : GlueVaR Distortion Risk Measures

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RECERCAT Home > Universitat de Barcelona > Institut de Recerca en Economia Aplicada Regional i Pública (IREA) > Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA)) > View document

To access the full text documents, please follow this link: http://hdl.handle.net/2445/57590

dc.contributor.author	Belles Sampera, Jaume
dc.contributor.author	Guillén, Montserrat
dc.contributor.author	Santolino, Miguel
dc.date	2013
dc.identifier.citation	2014-1254
dc.identifier.uri	http://hdl.handle.net/2445/57590
dc.format	38 p.
dc.format	application/pdf
dc.language.iso	eng
dc.publisher	Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública
dc.relation	Reproducció del document publicat a: http://www.ub.edu/irea/working_papers/2013/201302.pdf
dc.relation	IREA – Working Papers, 2013, IR13/002
dc.rights	cc-by-nc-nd, (c) Belles Sampera et al., 2013
dc.rights	info:eu-repo/semantics/openAccess
dc.rights	http://creativecommons.org/licenses/by-nc-nd/3.0/
dc.subject	Bancs
dc.subject	Comptabilitat
dc.subject	Obligacions (Finances)
dc.subject	Risc (Economia)
dc.subject	Borsa de valors
dc.subject	Mercat de futurs
dc.subject	Banks
dc.subject	Accounting
dc.subject	Bonds
dc.subject	Risk
dc.subject	Stock-exchange
dc.subject	Futures market
dc.title	Beyond Value-at-Risk : GlueVaR Distortion Risk Measures
dc.type	info:eu-repo/semantics/workingPaper
dc.description.abstract	We propose a new family of risk measures, called GlueVaR, within the class of distortion risk measures. Analytical closed-form expressions are shown for the most frequently used distribution functions in financial and insurance applications. The relationship between Glue-VaR, Value-at-Risk (VaR) and Tail Value-at-Risk (TVaR) is explained. Tail-subadditivity is investigated and it is shown that some GlueVaR risk measures satisfy this property. An interpretation in terms of risk attitudes is provided and a discussion is given on the applicability in non-financial problems such as health, safety, environmental or catastrophic risk management

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