Derivatives of Risk Measures
Abstract
This paper provides the first and second order derivatives of any risk measures, including VaR and ES for continuous and discrete portfolio loss random variable variables. Also, we give asymptotic results of the first and second order conditional moments for heavy-tailed portfolio loss random variable.
- Publication:
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arXiv e-prints
- Pub Date:
- April 2024
- DOI:
- 10.48550/arXiv.2404.09646
- arXiv:
- arXiv:2404.09646
- Bibcode:
- 2024arXiv240409646G
- Keywords:
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- Quantitative Finance - Risk Management