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Publications (15)
The magnitude and dramatic consequences of the current “financial crisis” are publicly well documented. Even non professionals
may read in, say, newspapers about notions like “derivatives”, “over the counter deals”, “complexity of contracts”, “insufficient
regulation” or “impossible to understand portfolios” while reading about bankruptcy or bailou...
Starting with a time-0 coherent risk measure defined for “value processes”, we also define risk measurement processes. Two other constructions of measurement processes are given in terms of sets of test probabilities. These latter constructions are identical and are related to the former construction when the sets fulfill a stability condition also...
special vol. on Financial Modeling
We explain why and how to deal with the definition, acceptability, computation and management of risk in a genuinely multitemporal way. Coherence axioms provide a representation of a risk-adjusted valuation. Some special cases of practical interest allowing for easy recursive computations are presented. The multiperiod extension of Tail VaR is disc...
valuation semantics. First, we will show how to translate an arbitrary contract, written in our language, into a value process, together with a handful of operations over these processes. These processes correspond directly to the mathematical and stochastic machinery used by nancial experts.
We explain why and how to deal with the definition, acceptability, com-putation and management of risk in a genuinely multitemporal way. Coherence axioms provide a representation of a risk-adjusted valuation. Some special cases of practical interest allowing for easy recursive computations are presented. The multiperiod extension of Tail VaR is dis...
The use of derivative products in risk management has spread from commodities, stocks and fixed income items, to such virtual commodities as energy, weather and bandwidth. All this can give rise to so-called volatility and there has been a consequent development in formal risk management techniques to cover all types of risk: market, credit, liquid...
Financial and insurance contracts do not sound like promising territory for functional programming and formal semantics, but in fact we have discovered that insights from programming languages bear directly on the complex subject of describing and valuing a large class of contracts. We introduce a combinator library that allows us to describe such...
Financial and insurance contracts do not sound like promising territory for functional programming and formal semantics, but in fact we have discovered that insights from programming languages bear directly on the complex subject of describing and valuing a large class of contracts. We introduce a combinator library that allows us to describe such...
In this paper we study both market risks and nonmarket risks, without complete markets assumption, and discuss methods of measurement of these risks. We present and justify a set of four desirable properties for measures of risk, and call the measures satisfying these properties “coherent.” We examine the measures of risk provided and the related a...
