Cash Sub-additive Risk Measures and Interest Rate Ambiguity
نویسندگان
چکیده
منابع مشابه
Cash Sub-additive Risk Measures and Interest Rate Ambiguity
A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, nonfinancial and insurance positions. The debated cash additive axiom is relaxed into the cash sub-additive axiom to preserve the original difference between the numéraire of the current reserve amounts and future positions. Consequently, cash subadditive risk measures can m...
متن کاملInterest Rate Risk Management: Developments in Interest Rate Term Structure Modeling for Risk Management and Valuation of Interest-rate-dependent Cash Flows
This paper surveys the main concepts and techniques of recent developments in the modeling of the term structure of interest rates that are used in the risk management and valuation of interest-rate-dependent cash flows. These developments extend the concepts of immunization and matching to a stochastic interest rate environment. Such cash flows include the cash flows on assets such as bonds an...
متن کاملComparing Relative and Additive Contents of Return with Cash Recovery Rate
One of the goals of financial reporting is to provide the useful information in order to facilitate the decision making. Accounting information system is of high importance for the users to make specific decisions. The information should be analyzed to present the valuable information to the investors so that in this paper, the relative content and return additive with cash recovery have been a...
متن کاملSub Additive Measures of Fuzzy Information
In the present communication, we review the existing measures of fuzzy information. We define and characterize two fuzzy information measures which are sub additive and different from known measures of fuzzy information. We also study monotonic behavior and particular cases of these fuzzy information measures. 2000 Mathematics Subject Classification: 94A17 and 94 D 05
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2008
ISSN: 1556-5068
DOI: 10.2139/ssrn.959092