arXiv subjects

Xiaochuan Deng

Publications and source records attributed to Xiaochuan Deng.

2 recordsLinked to original sources

arXiv2020

Regulator-based risk statistics with scenario analysis

As regulators pay more attentions to losses rather than gains, we are able to derive a new class of risk statistics, named regulator-based risk statistics with scenario analysis in this paper. This new class of risk statistics can be considered as a kind of risk extension of risk statistics introduced by Kou et al. \cite{11}, and also data-based versions of loss-based risk measures introduced by Cont et al. \cite{5} and Sun et al. \cite{12}.

q-fin.RM↗

arXiv2020

Regulator-based risk statistics for portfolios

Risk statistic is a critical factor not only for risk analysis but also for financial application. However, the traditional risk statistics may fail to describe the characteristics of regulator-based risk. In this paper, we consider the regulator-based risk statistics for portfolios. By further developing the properties related to regulator-based risk statistics, we are able to derive dual representation for such risk.

q-fin.RM↗